On the existence of certainty equivalents of various relevant types

[摘要] We tackle the problemof associating certainty equivalents with preferences over stochastic situations, which arisesin a number ofdifferent fields (e.g., the theory of risk attitudes or the analysis of stochastic cooperative games). We study the possibility of endowing such preferences with certainty equivalence functionals that satisfy relevant requirements (such as positive homogeneity, translation invariance, monotonicity with respect to first-order stochastic dominance, and subadditivity). Uniqueness of the functional is also addressed in fairly general conditions.

[学科分类] 应用数学