Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
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.
KeywordsRisk preferences Robust representations Lotteries with compact support Monotonicity
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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