References (54)


Citations (5)


Footnotes (62)



Risk Preferences and their Robust Representation

Michael Kupper

Vienna Institute of Finance

Samuel Drapeau

Technische Universität Berlin (TU Berlin)

February 22, 2010

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 risk and allow for a differentiated interpretation depending on the underlying context which is illustrated in different settings: For random variables, risk perception can be interpreted as model risk, and we compute among others the robust representation of the economic index of riskiness. For lotteries, risk perception can be viewed as distributional risk and we study the "Value at Risk''. For consumption patterns, which excerpt an intertemporality dimension in risk perception, we provide an interpretation in terms of discounting risk and discuss some examples.

Number of Pages in PDF File: 49

Keywords: Risk Preferences, Risk Measures, Robust Representation

JEL Classification: D81, G28, C5, C6

Download This Paper

Date posted: February 23, 2010 ; Last revised: December 26, 2010

Suggested Citation

Kupper, Michael and Drapeau, Samuel, Risk Preferences and their Robust Representation (February 22, 2010). Available at SSRN: http://ssrn.com/abstract=1557083 or http://dx.doi.org/10.2139/ssrn.1557083

Contact Information

Michael Kupper
Vienna Institute of Finance ( email )
Nordbergstrasse 15
Vienna, 1090
Samuel Drapeau (Contact Author)
Technische Universität Berlin (TU Berlin) ( email )
Straße des 17
Juni 135
Berlin, 10623
Feedback to SSRN

Paper statistics
Abstract Views: 1,154
Downloads: 399
Download Rank: 43,823
References:  54
Citations:  5
Footnotes:  62

© 2015 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo4 in 0.313 seconds