Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
| Type of Publication: | Contribution to a collection |
| Publication status: | Published |
| Author: | Cheridito, Patrick; Drapeau, Samuel; Kupper, Michael |
| Year of publication: | 2013 |
| Published in: | Risk Measures and Attitudes / Biagini, Francesca et al. (ed.). - London : Springer, 2013. - pp. 3-9. - ISBN 978-1-4471-4925-5 |
| DOI (citable link): | https://dx.doi.org/10.1007/978-1-4471-4926-2_1 |
| Summary: |
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.
|
| Subject (DDC): | 510 Mathematics |
| Bibliography of Konstanz: | Yes |
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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_1
@incollection{Cheridito2013Close-40952, title={Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences}, year={2013}, doi={10.1007/978-1-4471-4926-2_1}, isbn={978-1-4471-4925-5}, address={London}, publisher={Springer}, booktitle={Risk Measures and Attitudes}, pages={3--9}, editor={Biagini, Francesca}, author={Cheridito, Patrick and Drapeau, Samuel and Kupper, Michael} }
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