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  • Search: subject:"Nonconvex Choquet integrals"
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Subject
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Consistent risk measures 2 Law invariance 2 Nonconvex Choquet integrals 2 Optimisation problems 2 Quasiconvex functionals 2 Erwartungsnutzen 1 Expected utility 1 Mathematical programming 1 Mathematische Optimierung 1 Measurement 1 Messung 1 Nutzenfunktion 1 Risiko 1 Risikomaß 1 Risk 1 Risk measure 1 Theorie 1 Theory 1 Utility function 1
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Free 2
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Article 2
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Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 2
Author
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Liebrich, Felix-Benedikt 2 Munari, Cosimo 1 Munari, Cosimo-Andrea 1
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Mathematics and Financial Economics 1 Mathematics and financial economics 1
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ECONIS (ZBW) 1 EconStor 1
Showing 1 - 2 of 2
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Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity
Liebrich, Felix-Benedikt; Munari, Cosimo - In: Mathematics and Financial Economics 16 (2022) 3, pp. 447-480
We establish general "collapse to the mean" principles that provide conditions under which a law-invariant functional reduces to an expectation. In the convex setting, we retrieve and sharpen known results from the literature. However, our results also apply beyond the convex setting. We...
Persistent link: https://www.econbiz.de/10015271500
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Cover Image
Law-invariant functionals that collapse to the mean : beyond convexity
Liebrich, Felix-Benedikt; Munari, Cosimo-Andrea - In: Mathematics and financial economics 16 (2022) 3, pp. 447-480
Persistent link: https://www.econbiz.de/10013438862
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