Preferences over all random variables: Incompatibility of convexity and continuity

Hirbod Assa and Alexander Zimper

Open Access Publications from Kiel Institute for the World Economy from Kiel Institute for the World Economy (IfW Kiel)

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.

Keywords: large spaces; preference for diversification; utility representations (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Preferences over all random variables: Incompatibility of convexity and continuity (2018)
Working Paper: Preferences Over all Random Variables: Incompatibility of Convexity and Continuity (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:ifwkie:233948

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