Risk, robustness, and dual representation of choice

David Brown
Duke University

In this talk, I will discuss some recent results on the representation of choice. A general class of preferences that includes a wide range of choice models, ranging from the classical (e.g., expected utility theory) to the new (e.g., target-based objectives) will be considered. A representation result shows that such preferences can be expressed in terms of families of convex risk measures. This, in turn, shows that robustness is a central feature already present in many models of decision-making under uncertainty.

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