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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