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Anticomonotonicity for Preference Axioms: The Natural Counterpart to Comonotonicity
Giulio Principi, Peter P. Wakker, Ruodu Wang
Comonotonicity (``same variation'') of random variables minimizes hedging possibilities and has been widely used, e.g., in Gilboa and Schmeidler's ambiguity models. This paper inve…
A Nonlinear Sandwich Theorem
Mario Ghossoub, Giulio Principi, Lorenzo Stanca
We provide a Sandwich Theorem (König (1972)) for positively homogeneous functionals that satisfy additivity only on a restricted domain. Our relaxation of additivity is based on a…
Recursive Preferences and Ambiguity Attitudes
Massimo Marinacci, Giulio Principi, Lorenzo Stanca
Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and a…