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

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Date
2013
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Cheridito, Patrick
Drapeau, Samuel
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10.1007/978-1-4471-4926-2_1
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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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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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ISO 690CHERIDITO, 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
BibTex
@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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