摘要
本文综述了Choquet容度和Choquet积分在刻画金融经济领域中不确定性上的应用,包含非期望效用、资产定价、保险理论、投资消费储蓄理论和宏观经济等五个方面,同时给出不确定性领域的进一步研究方向:动态相容性、理性、效用的合理定义以及非期望效用的推广等。
Risk and ambiguity are very close but different concepts.As risk can be described by probability theory,ambiguity can be described by Choquet capacity and Choquet integral.In this survey,we review the applications of Choquet capacity and Choquet integral in financial area,including non-expected utility,asset pricing,insurance,investment and consumption,and macroeconomic theory.We also propose some new directions for further research.
出处
《金融评论》
2012年第2期85-95,126,共11页
Chinese Review of Financial Studies
