Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
Please always quote using this URN:urn:nbn:de:0296-matheon-10032
- 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.
Author: | Patrick Cheridito, Samuel Drapeau, Michael Kupper |
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URN: | urn:nbn:de:0296-matheon-10032 |
Referee: | Dirk Becherer |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2012/01/27 |
Release Date: | 2012/01/27 |
Institute: | Humboldt-Universität zu Berlin |
MSC-Classification: | 91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Bxx Mathematical economics (For econometrics, see 62P20) |
Preprint Number: | 893 |