Risk preferences and their robust representation

Drapeau, Samuel; Kupper, Michael

Risk preferences and their robust representation

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Datum

2013

Autor:innen

Drapeau, Samuel

Kupper, Michael

Publikationstyp

Zeitschriftenartikel

Publikationsstatus

Published

Erschienen 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

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.

Fachgebiet (DDC)

510 Mathematik

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ISO 690

DRAPEAU, 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}
}

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