Law-invariant functionals that collapse to the mean: beyond convexity
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Publication:2155557
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
quasiconvex functionalslaw invarianceoptimisation problemsconsistent risk measuresnonconvex Choquet integrals
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