Risk Measures and Attitudes pp 3-9

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

  • Patrick Cheridito
  • Samuel Drapeau
  • Michael Kupper

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 

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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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