Weak Closedness of Monotone Sets of Lotteries and Robust Representation of Risk Preferences
- Authors
- Patrick Cheridito, Samuel Drapeau and Michael Kupper
- Date
- 2013
- Journal
- Risk Measures and Attitudes:3-9
- 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.
- Keywords
- Risk preferences, Robust representations, Lotteries with compact support, Monotonicity
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