Diversification, Convex Preferences and Non-Empty Core

We show, in the Choquet expected utility model, that preference for diversification, that is, convex preferences, is equivalent to a concave utility index and a convex capacity. We then introduce a weaker notion of diversification, namely "sure diversification." We show that this implies that the core of the capacity is non-empty. The converse holds under concavity of the utility index. This property isshown to be equivalent to the notion of comonotone diversification; notion that we introduce in the paper. Finally, in the expected utility model, all these notions of diversification are equivalent and are represented by the concavity of the utility index.