Risk Preferences and Their Robust Representation

@article{Drapeau2013RiskPA,
  title={Risk Preferences and Their Robust Representation},
  author={Samuel Drapeau and Michael Kupper},
  journal={Math. Oper. Res.},
  year={2013},
  volume={38},
  pages={28-62}
}
Due to the plurality in interpretations of the subjective notion of risk, we describe it by means of a preference order and concentrate on context invariant features usually related to this notion: Diversification and monotonicity. We define and study general properties of three concepts: risk order, risk measure and risk acceptance family and their one-to-one relation. Our main results are uniquely characterized robust representations of lower semicontinuous risk orders on vector spaces and… CONTINUE READING
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