We revisit Machina's local utility as a tool to analyze attitudes to multivariate risks. Using martingale embedding techniques, we show that for non-expected utility maximizers choosing between multivariate prospects, aversion to multivariate mean preserving increases in risk is equivalent to...

We consider partial identification of finite mixture models in the presence of an observable source of variation in the mixture weights that leaves component distributions unchanged, as is the case in large classes of econometric models. We first show that when the number J of component...

Semiparametric spectral methods seem particularly appropriate for the analysis of long financial time series, providing they are robust to a variety of forms of conditional heteroscedasticity, which is generally recognized as a dominant feature of financial returns. This paper analyses the...

We propose a computationally feasible way of deriving the identified features of models with multiple equilibria in pure or mixed strategies. It is shown that in the case of Shapley regular normal form games, the identified set is characterized by the inclusion of the true data distribution...

We propose a multivariate extension of Yaari's dual theory of choice under risk. We show that a decision maker with a preference relation on multidimensional prospects that preserves first order stochastic dominance and satisfies comonotonic independence behaves as if evaluating prospects with a...

We provide a test for the specification of a structural model without identifying assumptions. From the dual formulation of a null hypothesis of compatibility of the data generating process with the structure, we derive a Kolmogorov-Smirnov statistic for Choquet capacity functionals, which we...

A general framework is given to analyze the falsifiability of economic models based on a sample of their observable components. It is shown that, when the restrictions implied by the economic model are insufficient to identify the unknown quantities of the model, the duality of optimal...

We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors through generalized quantile fonctions. Moreover, we propose...

A formalization of the Precautionary Principle is given here: We formalize scientific knowledge on the likelihood of events in the state space and the concepts of scientifically unambiguous events and acts. We give a definition of a non-precautionary social planner as a Savage Expected Utility...