Law-Invariant Functionals on General Spaces of Random Variables

DOI10.1137/20M1341258zbMath1465.62156arXiv1808.00821OpenAlexW3134575740WikidataQ114847129 ScholiaQ114847129MaRDI QIDQ4987718

Pablo Koch-Medina, Cosimo Munari, Fabio Bellini, Gregor Svindland

Publication date: 4 May 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.00821

zbMATH Keywords

Schur convexitylaw invarianceextension resultsinfimal convolutionsKusuoka representationsdilation monotonicityquantile representations

Mathematics Subject Classification ID

Random fields (60G60) Random fields; image analysis (62M40) Duality theory for topological vector spaces (46A20) Applications of functional analysis in probability theory and statistics (46N30)

Related Items (3)

Law-invariant functionals that collapse to the mean: beyond convexity ⋮ Automatic Fatou property of law-invariant risk measures ⋮ Law-invariant functionals that collapse to the mean

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