Preferences over all random variables: Incompatibility of convexity and continuity

B-Tier
Journal: Journal of Mathematical Economics
Year: 2018
Volume: 75
Issue: C
Pages: 71-83

Authors (2)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:mateco:v:75:y:2018:i:c:p:71-83
Journal Field
Theory
Author Count
2
Added to Database
2026-01-29