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On the existence of certainty equivalents of various relevant types

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  • J. C. R. Alcantud
  • G. Bosi

Abstract

We tackle the problem of associating certainty equivalents with preferences over stochastic situations, which arises in a number of different 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.

Suggested Citation

  • J. C. R. Alcantud & G. Bosi, 2003. "On the existence of certainty equivalents of various relevant types," Journal of Applied Mathematics, Hindawi, vol. 2003, pages 1-12, January.
    • Handle: RePEc:hin:jnljam:616492
    DOI: 10.1155/S1110757X03207075
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    Cited by:

    1. Bogdan Grechuk & Anton Molyboha & Michael Zabarankin, 2012. "Mean‐Deviation Analysis in the Theory of Choice," Risk Analysis, John Wiley & Sons, vol. 32(8), pages 1277-1292, August.
    2. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
    3. Xia Han & Ruodu Wang & Qinyu Wu, 2023. "Monotonic mean-deviation risk measures," Papers 2312.01034, arXiv.org, revised Aug 2024.

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