Arbeitspapier
Rationalizing Constrained Contingent Claims
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2007:12
- Klassifikation
-
Wirtschaft
Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access
Microeconomic Behavior: Underlying Principles
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Nonlinear price
Risk or uncertainty aversion
Choquet integral
Stochastic order
Incomplete preferences
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Borglin, Anders
Flåm, Sjur
- Ereignis
-
Veröffentlichung
- (wer)
-
Lund University, School of Economics and Management, Department of Economics
- (wo)
-
Lund
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Borglin, Anders
- Flåm, Sjur
- Lund University, School of Economics and Management, Department of Economics
Entstanden
- 2007
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