Risk Preferences and their Robust Representation
نویسندگان
چکیده
منابع مشابه
Risk Preferences and Their Robust Representation
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 representation covers most instruments related to ...
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W consider choice over uncertain, monetary payoffs and study a general class of preferences. These preferences favor diversification, except perhaps on a subset of sufficiently disliked acts over which concentration is instead preferred. This structure encompasses a number of known models (e.g., expected utility and several variants under a concave utility function). We show that such preferenc...
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Though the general setup does not require a particular probability measure, there may be situations in which the decision maker makes choices according to some subjective, probabilistic beliefs. For such decision makers, it is useful to understand the implied stochastic ordering properties of their choices relative to the underlying probability measure P ∈ P that they are using. In this section...
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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 provide conditions under which < has a nume...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1557083