Given a functional defi?ned on a nonempty subset of an Archimedean Riesz space with unit, necessary and sufficient conditions are obtained for the existence of a (convex or concave) niveloid that extends the functional to the entire space. In the language of mathematical fi?nance, this problem...

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (see Maccheroni et al., 2006) and optimal portfolios generated by classical expected utility. As a special case, we connect optimization of truncated...

We study the behavioural foundation of interdependent preferences, where the outcomes of others affect the welfare of the decision maker. These preferences are taken as given, not derived from more primitive ones. Our aim is to establish an axiomatic foundation providing the link between...

We propose a portfolio selection model based on a class of preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone.

We characterize, in the Anscombe-Aumann framework, the preferences for which there are a utility functionu on outcomes and an ambiguity indexc on the set of probabilities on the states of the world such that, for all acts f and g, Copyright The Econometric Society 2006.

In the classic Anscombe and Aumann decision setting, we give necessary and sufficient conditions that guarantee the existence of a utility function u on outcomes and an ambiguity index c on the set of all probabilities on the states of the world such that acts are ranked according to the...

We propose a portfolio selection model based on a class of preferences that coincide with mean-variance preferences on their domain of monotonicity, but differ where mean-variance preferences fail to be monotone.

We introduce a theoretical framework in which to study interdependent preferences, where the outcome of others affects the preferences of the decision maker. The dependence may take place in two conceptually different ways, depending on how the decision maker evaluates what the others have. In...

We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. [8]) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated quadratic utility (cf. [2])...