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Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences

  • Patrick Cheridito
  • Samuel Drapeau
  • Michael Kupper
Part of the EAA Series book series (EAAS)

Abstract

We prove a closedness result for sets of lotteries that are monotone with respect to first-order stochastic dominance and show how it can be applied to obtain robust representations of risk preferences on lotteries with compact support.

Keywords

Risk preferences Robust representations Lotteries with compact support Monotonicity 

Notes

Acknowledgements

P. Cheridito was supported in part by NSF Grant DMS-0642361. S. Drapeau financial support from MATHEON project E.11 is gratefully acknowledged.

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Copyright information

© Springer-Verlag London 2013

Authors and Affiliations

  • Patrick Cheridito
    • 1
  • Samuel Drapeau
    • 2
  • Michael Kupper
    • 2
  1. 1.Princeton UniversityPrincetonUSA
  2. 2.Humboldt University BerlinBerlinGermany

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