This paper introduces the signed Choquet integral, i.e., a nonmonotonic generalization of the Choquet integral. Applications to welfare theory, multi-period optimization, and asset pricing are described.Choquet integral;comonotonicity;arbitrage;time preference

De Waegenaere, A.M.B.

Wakker, P.P.

English

Research Papers in Economics

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Choquet Integrals With Respect to Non-Monotonic Set Functions

Choquet Integrals With Respect to Non-Monotonic Set Functions

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Research Papers in Economics