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

DOI10.1007/978-1-4471-4926-2_1zbMath1269.91030OpenAlexW2227717197MaRDI QIDQ2841945

Samuel Drapeau, Michael Kupper, Patrick Cheridito

Publication date: 30 July 2013

Published in: EAA Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4471-4926-2_1

zbMATH Keywords

monotonicityrisk preferenceslotteries with compact supportrobust representations

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Decision theory (91B06)

Cites Work

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• Dual characterization of properties of risk measures on Orlicz hearts
• A von Neumann-Morgenstern representation result without weak continuity assumption
• Coherent Measures of Risk
• RISK MEASURES ON ORLICZ HEARTS
• Risk Preferences and Their Robust Representation
• Stochastic finance. An introduction in discrete time

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