Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/233948
Authors: 
Assa, Hirbod
Zimper, Alexander
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Mathematical Economics [ISSN:] 0304-4068 [Volume:] 75 [Pages:] 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.
Subjects: 
large spaces
preference for diversification
utility representations
JEL: 
D81
Published Version’s DOI: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc-nd/4.0/deed.de
Document Type: 
Article
Document Version: 
Accepted Manuscript (Postprint)

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