(with A. Schied )
Robust preferences and convex measures of risk.
in Finance and Stochastics,
39-56, Springer-Verlag (2002).
The original paper can be downloaded here.
Note, however, that there is
an error in Theorem 3.8 and Corollary 3.9: the implication that (b)
(c) is not valid.
This error has been corrected and discussed in Section 4.2 of the
our book "Stochastic
Finance: An Introduction in Discrete Time". This section
can be downloaded here.