Law-invariant functionals that collapse to the mean: beyond convexity

DOI10.1007/s11579-022-00313-9zbMath1497.91344arXiv2106.01281OpenAlexW3171612222WikidataQ114222183 ScholiaQ114222183MaRDI QIDQ2155557

Cosimo Munari, Felix-Benedikt Liebrich

Publication date: 15 July 2022

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.01281

zbMATH Keywords

quasiconvex functionalslaw invarianceoptimisation problemsconsistent risk measuresnonconvex Choquet integrals

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

A framework for measures of risk under uncertainty ⋮ An axiomatic approach to default risk and model uncertainty in rating systems ⋮ Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints

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