Diversification, convex preferences and non-empty core in the Choquet expected utility model

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Vector Expected Utility and Attitudes Toward Variation (2008, background): “…evaluation is affected by a distinct2 source of ambiguity; the adjustment applied to the baseline evaluation of an act f depends upon the similarity (as measured by covariance) of its utility profile u ◦ f with each factor ζi , and hence upon its exposure to the corresponding source of ambiguity.”