The convexity-cone approach to comparative risk and downside risk.

We establish a calculus characterization of the core of supermodular games, which reduces the description of the core to the computation of suitable Gateaux derivatives of the Choquet integrals associated with the game. Our result generalizes to infinite games a classic result of Shapley (1971). As a secondary contribution, we provide a fairly complete analysis of the Gateaux and Frechet differentiability of the Choquet integrals of supermodular measure games.

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Year of publication:	2002-04
Authors:	Marinacci, Massimo ; Montrucchio, Luigi
Institutions:	International Centre for Economic Research (ICER)

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Extent:	application/pdf
Series:	ICER Working Papers - Applied Mathematics Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	38 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005427042