Assa, Hirbod and Zimper, Alexander
(2018)
Preferences over all random variables: Incompatibility of convexity and continuity.
JOURNAL OF MATHEMATICAL ECONOMICS, 75 (C).
pp. 71-83.
Abstract
We consider preferences over all random variables on a given nonatomic probability space. We show that non-trivial and complete preferences cannot simultaneously satisfy the two fundamental principles of convexity and continuity. As an implication of this incompatibility result there cannot exist any non-trivial continuous utility representations over all random variables that are either quasi-concave or quasi-convex. This rules out standard risk-averse (or seeking) utility representations for this large space of random variables.
Item Type: | Article |
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Uncontrolled Keywords: | Large spaces, Preference for diversification, Utility representations |
Depositing User: | Symplectic Admin |
Date Deposited: | 15 Aug 2018 09:57 |
Last Modified: | 19 Jan 2023 01:28 |
DOI: | 10.1016/j.jmateco.2017.12.006 |
Open Access URL: | https://repository.up.ac.za/handle/2263/64454?show... |
Related URLs: | |
URI: | https://livrepository.liverpool.ac.uk/id/eprint/3025023 |