Abstract
This paper aims at presenting the state-of-the-art of Choquet integral in quantifying the uncertainty in financial economics. Not only Choquet integral becomes a suitable model for defining financial coherent risk measures in the investment context, it seems also possible to use Choquet integral calculations as a means for asset pricing.We address also utility aspect of Choquet integral risk measures.
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Nguyen, H.T., Sriboonchitta, S. (2010). On Choquet Integral Risk Measures. In: Huynh, VN., Nakamori, Y., Lawry, J., Inuiguchi, M. (eds) Integrated Uncertainty Management and Applications. Advances in Intelligent and Soft Computing, vol 68. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-11960-6_2
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DOI: https://doi.org/10.1007/978-3-642-11960-6_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-11959-0
Online ISBN: 978-3-642-11960-6
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