Risk preferences on the space of quantile functions
The recent authors' paper [SIAM J. Optim. 23, No. 1, 381--405 (2013; Zbl 1271.91051)] provided a unified approach to two very popular theories, the theory of expected utility and the dual utility theory, by using tools of modern convex analysis. The aim of the present paper is to continue along the theory of the previous paper to develop a quantile-based theory of risk preferences. The main result of the present paper consists of proposing a novel approach to the quantification of law invariant risk pretences on the prospect space of quantile functions. The results of the paper are close to those presented in [\textit{E. Jouini} et al., in: Advances in mathematical economics 9, 49--71 (2006; Zbl 1198.46028)].
scientific article; zbMATH DE number 6381520
scientific article