Rationalizing Constrained Contingent Claims

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 2007:12

Classification and Topics

• Classification: Wirtschaft ; Methodology for Collecting, Estimating, and Organizing Microeconomic Data; Data Access ; Microeconomic Behavior: Underlying Principles ; Contingent Pricing; Futures Pricing; option pricing
• Subject: Nonlinear price ; Risk or uncertainty aversion ; Choquet integral ; Stochastic order ; Incomplete preferences

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Borglin, Anders ; Flåm, Sjur
• Event: Veröffentlichung
• (who): Lund University, School of Economics and Management, Department of Economics
• (where): Lund
• (when): 2007

Further information

• Handle: http://hdl.handle.net/10419/259944
• Last update: 10.03.2025, 11:44 AM CET