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2013 | OriginalPaper | Chapter

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

Authors : Patrick Cheridito, Samuel Drapeau, Michael Kupper

Published in: Risk Measures and Attitudes

Publisher: Springer London

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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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next chapter Multivariate Concave and Convex Stochastic Dominance
Literature
Cerreia-Vioglio, S. (2009). Maxmin expected utility on a subjective state space: convex preferences under risk (Preprint).
Cheridito, P., & Li, T. (2008). Dual characterization of properties of risk measures on Orlicz hearts. Mathematics and Financial Economics, 2(1), 29–55. MathSciNetMATHCrossRef
Cheridito, P., & Li, T. (2009). Monetary risk measures on maximal subspaces of Orlicz classes. Mathematical Finance, 19(2), 189–214. MathSciNetMATHCrossRef
Delbaen, F., Drapeau, S., & Kupper, M. (2011). A von Neumann–Morgenstern representation result without weak continuity assumption. Journal of Mathematical Economics, 47, 401–408. MathSciNetMATHCrossRef
Drapeau, S., & Kupper, M. (2010, forthcoming). Risk preferences and their robust representation. Mathematics of Operations Research.
Fishburn, P. C. (1982). The foundations of expected utility. Dordrecht: D. Reidel Publishing. MATH
Föllmer, H., & Schied, A. (2004). de Gruyter studies in mathematics. Stochastic finance—an introduction in discrete time (2nd ed.). Berlin: Walter de Gruyter. MATHCrossRef
von Neumann, J., & Morgenstern, O. (1947). Theory of games and economics behavior (2nd ed.). Princeton: Princeton University Press.
Metadata
Title
Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
Authors
Patrick Cheridito
Samuel Drapeau
Michael Kupper
Copyright Year
2013
Publisher
Springer London
Book
Risk Measures and Attitudes

Print ISBN: 978-1-4471-4925-5

Electronic ISBN: 978-1-4471-4926-2

Copyright Year: 2013

DOI
https://doi.org/10.1007/978-1-4471-4926-2_1