Cominimum additive operators

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This paper proposes a class of weak additivity concepts for an operator on the set of real valued functions on a finite state space Omega, which include additivity and comonotonic additivity as extreme cases. Let E subset of 2(Omega) be a collection of subsets of Omega. Two functions x and y on Omega are E-cominimum if, for each E epsilon 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 Omega is E-cominimum additive if I(x + y) = I(x) + I(y) whenever x and y are E-cominimum. The main result characterizes homogeneous S-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]. (c) 2006 Elsevier B.V. All rights reserved.
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