Cominimum additive operators [An article from: Journal of Mathematical Economics]

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Description:
This paper proposes a class of weak additivity concepts for an operator on the set of real valued functions on a finite state space @W, which include additivity and comonotonic additivity as extreme cases. Let E@?2^@W be a collection of subsets of @W. Two functions x and y on @W are E-cominimum if, for each E@?E, the set of minimizers of x restricted on E and that of y have a common element. An operator I on the set of functions on @W is E-cominimum additive if I(x+y)=I(x)+I(y) whenever x and y are E-cominimum. The main result characterizes homogeneous E-cominimum additive operators in terms of the Choquet integrals and the corresponding non-additive signed measures. As applications, this paper gives an alternative proof for the characterization of the E-capacity expected utility model of Eichberger and Kelsey [Eichberger, J., Kelsey, D., 1999. E-capacities and the Ellsberg paradox. Theory and Decision 46, 107-140] and that of the multiperiod decision model of Gilboa [Gilboa, I., 1989. Expectation and variation in multiperiod decisions. Econometrica 57, 1153-1169].