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

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Risk Measures and Attitudes

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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.

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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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Correspondence to Samuel Drapeau .

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Cheridito, P., Drapeau, S., Kupper, M. (2013). Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences. In: Biagini, F., Richter, A., Schlesinger, H. (eds) Risk Measures and Attitudes. EAA Series. Springer, London. https://doi.org/10.1007/978-1-4471-4926-2_1

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