Bipolar behavior of submodular, law-invariant capacities
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Massimiliano Amarante
Abstract
In the case of a submodular, law-invariant capacity, we provide an entirely elementary proof of a result of Marinacci [M. Marinacci, Upper probabilities and additivity, Sankhyā Ser. A 61 1999, no. 3, 358–361]. As a corollary, we also show that the anticore of a continuous submodular, law-invariant nonatomic capacity has a dichotomous nature: either it is one-dimensional or it is infinite-dimensional. The results have implications for the use of such capacities in financial and economic applications.
Acknowledgements
I wish to thank the reviewer for several suggestions and, in particular, for providing an improved version of the proof of Lemma 3.2.
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