We propose and characterize a model of preferences over acts such that the decision maker
prefers act f to act g if and only if 𝔼μφ (𝔼πu○ f) 𝔼μφ (𝔼πu○ g), where 𝔼 is the expectation …

We discuss a Lévy multivariate model for financial assets which incorporates jumps,
skewness, kurtosis and stochastic volatility. We use it to describe the behaviour of a series of …

In this paper, we consider different issues related to Archimedean copulae and positive
dependence. In the first part, we characterize Archimedean copulae that possess positive …

The axioms that characterize the generalized Gini social evaluation orderings for one-
dimensional distributions are extended to the multidimensional attributes case. A social …

We consider a totally monotone capacity on a Polish space and a sequence of bounded piid
random variables. We show that, on a full set, any cluster point of empirical averages lies …

We propose a portfolio selection model based on a class of monotone preferences that
coincide with mean‐variance preferences on their domain of monotonicity, but differ where …

In this paper we use doubly stochastic processes (or Cox processes) in order to model the
random evolution of mortality of an individual. These processes have been widely used in …

Ultramodular Functions Page 1 MATHEMATICS OF OPERATIONS RESEARCH Vol. 30, No.
2, May 2005, pp. 311–332 ISSN 0364-765XEISSN 1526-54710530020311 informs® DOI …

We develop an axiomatic approach to decision under uncertainty that explicitly takes into
account the information available to the decision maker. The information is described by a …

In this paper, we provide an axiomatic characterization of social welfare functions for
uncertain incomes. Our most general result is that a small number of reasonable …