Risk preferences and their robust representation

Lade...
Vorschaubild
Dateien
Zu diesem Dokument gibt es keine Dateien.
Datum
2013
Autor:innen
Drapeau, Samuel
Herausgeber:innen
Kontakt
ISSN der Zeitschrift
Electronic ISSN
ISBN
Bibliografische Daten
Verlag
Schriftenreihe
Auflagebezeichnung
ArXiv-ID
Internationale Patentnummer
Angaben zur Forschungsförderung
Projekt
Open Access-Veröffentlichung
Core Facility der Universität Konstanz
Gesperrt bis
Titel in einer weiteren Sprache
Forschungsvorhaben
Organisationseinheiten
Zeitschriftenheft
Publikationstyp
Zeitschriftenartikel
Publikationsstatus
Published
Erschienen in
Zusammenfassung

To address the plurality of interpretations of the subjective notion of risk, we describe it by means of a risk order and concentrate on the context invariant features of diversification and monotonicity. Our main results are uniquely characterized robust representations of lower semicontinuous risk orders on vector spaces and convex sets. This representation covers most instruments related to risk and allows for a differentiated interpretation depending on the underlying context that is illustrated in different settings: for random variables, risk perception can be interpreted as model risk, and we compute among others the robust representation of the economic index of riskiness. For lotteries, risk perception can be viewed as distributional risk and we study the "value at risk." For consumption patterns, which excerpt an intertemporality dimension in risk perception, we provide an interpretation in terms of discounting risk and discuss some examples.

Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
510 Mathematik
Schlagwörter
Konferenz
Rezension
undefined / . - undefined, undefined
Zitieren
ISO 690DRAPEAU, Samuel, Michael KUPPER, 2013. Risk preferences and their robust representation. In: Mathematics of Operations Research. 2013, 38(1), pp. 28-62. ISSN 0364-765X. eISSN 1526-5471. Available under: doi: 10.1287/moor.1120.0560
BibTex
@article{Drapeau2013prefe-27024,
  year={2013},
  doi={10.1287/moor.1120.0560},
  title={Risk preferences and their robust representation},
  number={1},
  volume={38},
  issn={0364-765X},
  journal={Mathematics of Operations Research},
  pages={28--62},
  author={Drapeau, Samuel and Kupper, Michael}
}
RDF
<rdf:RDF
    xmlns:dcterms="http://purl.org/dc/terms/"
    xmlns:dc="http://purl.org/dc/elements/1.1/"
    xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
    xmlns:bibo="http://purl.org/ontology/bibo/"
    xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
    xmlns:foaf="http://xmlns.com/foaf/0.1/"
    xmlns:void="http://rdfs.org/ns/void#"
    xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > 
  <rdf:Description rdf:about="https://kops.uni-konstanz.de/server/rdf/resource/123456789/27024">
    <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:language>eng</dc:language>
    <dc:creator>Drapeau, Samuel</dc:creator>
    <dcterms:issued>2013</dcterms:issued>
    <dc:contributor>Drapeau, Samuel</dc:contributor>
    <dcterms:abstract xml:lang="eng">To address the plurality of interpretations of the subjective notion of risk, we describe it by means of a risk order and concentrate on the context invariant features of diversification and monotonicity. Our main results are uniquely characterized robust representations of lower semicontinuous risk orders on vector spaces and convex sets. This representation covers most instruments related to risk and allows for a differentiated interpretation depending on the underlying context that is illustrated in different settings: for random variables, risk perception can be interpreted as model risk, and we compute among others the robust representation of the economic index of riskiness. For lotteries, risk perception can be viewed as distributional risk and we study the "value at risk." For consumption patterns, which excerpt an intertemporality dimension in risk perception, we provide an interpretation in terms of discounting risk and discuss some examples.</dcterms:abstract>
    <dcterms:bibliographicCitation>Mathematics of Operations Research ; 38 (2013), 1. - S. 28-62</dcterms:bibliographicCitation>
    <dc:contributor>Kupper, Michael</dc:contributor>
    <dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
    <foaf:homepage rdf:resource="http://localhost:8080/"/>
    <dcterms:title>Risk preferences and their robust representation</dcterms:title>
    <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
    <dc:creator>Kupper, Michael</dc:creator>
    <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
    <dc:rights>terms-of-use</dc:rights>
    <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-03-14T10:22:34Z</dc:date>
    <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2014-03-14T10:22:34Z</dcterms:available>
    <bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/27024"/>
  </rdf:Description>
</rdf:RDF>
Interner Vermerk
xmlui.Submission.submit.DescribeStep.inputForms.label.kops_note_fromSubmitter
Kontakt
URL der Originalveröffentl.
Prüfdatum der URL
Prüfungsdatum der Dissertation
Finanzierungsart
Kommentar zur Publikation
Allianzlizenz
Corresponding Authors der Uni Konstanz vorhanden
Internationale Co-Autor:innen
Universitätsbibliographie
Ja
Begutachtet
Diese Publikation teilen