Contribution to a collection: Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
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2013
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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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510 Mathematics
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Risk Measures and Attitudes / Biagini, Francesca et al. (ed.). - London : Springer, 2013. - pp. 3-9. - ISBN 978-1-4471-4925-5
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CHERIDITO, Patrick, Samuel DRAPEAU, Michael KUPPER, 2013. Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences. In: BIAGINI, Francesca, ed. and others. Risk Measures and Attitudes. London:Springer, pp. 3-9. ISBN 978-1-4471-4925-5. Available under: doi: 10.1007/978-1-4471-4926-2_1BibTex
@incollection{Cheridito2013Close-40952, year={2013}, doi={10.1007/978-1-4471-4926-2_1}, title={Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences}, isbn={978-1-4471-4925-5}, publisher={Springer}, address={London}, booktitle={Risk Measures and Attitudes}, pages={3--9}, editor={Biagini, Francesca}, author={Cheridito, Patrick and Drapeau, Samuel and Kupper, Michael} }
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