Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/259944 
Year of Publication: 
2007
Series/Report no.: 
Working Paper No. 2007:12
Publisher: 
Lund University, School of Economics and Management, Department of Economics, Lund
Abstract: 
Choice of contingent claims could reflect risk aversion or pessimism. Accordingly, the underlying, but hidden preferences might fit expected utility of customary von Neumann-Morgenstern form - or more generally, comply with a Choquet integral. This paper considers constrained choice and rationalizes both sorts of attitudes. Two avenues are pursued: one invokes complete orders; the other contends with partial ordering. Emphasis is on incomplete financial markets, featuring nonlinear pricing.
Subjects: 
Nonlinear price
Risk or uncertainty aversion
Choquet integral
Stochastic order
Incomplete preferences
JEL: 
C81
D01
G13
Document Type: 
Working Paper

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