#### Filter Results:

- Full text PDF available (5)

#### Publication Year

2010

2013

- This year (0)
- Last 5 years (4)
- Last 10 years (5)

#### Publication Type

#### Co-author

#### Journals and Conferences

#### Key Phrases

Learn More

- Samuel Drapeau, Michael Kupper
- Math. Oper. Res.
- 2013

To address the plurality of interpretations of the subjective notion of risk, we describe it by means of a risk order and concentrate on the context invariant features of diversification and monotonicity. Our main results are uniquely characterized robust representations of lower semicontinuous risk orders on vector spaces and convex sets. This… (More)

In the paradigm of von Neumann and Morgenstern, a representation of a ne preferences in terms of an expected utility can be obtained under the assumption of weak continuity. Since the weak topology is coarse, this requirement is a priori far from being negligible. In this work, we replace the assumption of weak continuity by monotonicity. More precisely, on… (More)

- Tomasz R. Bielecki, Igor Cialenco, Samuel Drapeau, Martin Karliczek
- 2013

This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of L-modules. In the first part of the paper we develop the general… (More)

We consider a risk preference given by a total preorder < on the setM1,c of probability distributions on R with compact support, that is, a transitive binary relation such that for all μ, ν ∈ M1,c one has μ < ν or μ 4 ν or both. Elements μ ofM1,c are understood as lotteries, and μ < ν means that μ is at least as risky as ν. The goal of the paper is to… (More)

- Samuel Drapeau, Martin Karliczek, Michael Kupper, Martin Streckfuß
- 2013

*Correspondence: kupper@uni-konstanz.de 2Universität Konstanz, Universitätsstraße 10, Konstanz, 78464, Germany Full list of author information is available at the end of the article Abstract The classical Brouwer fixed point theorem states that inRd every continuous function from a convex, compact set on itself has a fixed point. For an arbitrary… (More)

- ‹
- 1
- ›