Risk Preferences and Their Robust Representation
本文通过风险序描述主观风险概念，聚焦多样性和单调性等不变特征，给出向量空间和凸集上下半连续风险序的稳健表示，并应用于随机变量、彩票和消费模式等不同情境。
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 allows for a differentiated interpretation depending on the underlying context that 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.