Choquet boundaries and efficiency

Efficiency and Choquet boundaries in separated locally convex spaces

This research paper is devoted to the study of the properties for Pareto-type efficient point sets in separated locally convex spaces, based upon an earlier result on the coincidence of Pareto-type efficient point sets and the Choquet boundaries and the natural corresponding extension for the approximate efficient point sets in Hausdorff locally convex spaces. Both of these results represent an...

Choquet theory, boundaries and applications

Adapted Integral Representations by Measures on Choquet Boundaries

Updating Choquet beliefs

We apply Pires’s coherence property between unconditional and conditional preferences that admit a CEU representation. In conjunction with consequentialism (only those outcomes on states which are still possible can matter for conditional preference) this implies that the conditional preference may be obtained from the unconditional preference by taking the Full Bayesian Update of the capacity....

Dynamically Consistent Choquet Random Walk and Real Investments Dynamically Consistent Choquet Random Walk and Real Investments

In the real investments literature, the investigated cash flow is assumed to follow some known stochastic process (e.g. Brownian motion) and the criterion to decide between investments is the discounted utility of their cash flows. However, for most new investments the investor may be ambiguous about the representation of uncertainty. In order to take such ambiguity into account, we refer to a ...