Law-invariant functionals on general spaces of random variables
Abstrak
We establish general versions of a variety of results for quasiconvex, lower-semicontinuous, and law-invariant functionals. Our results extend well-known results from the literature to a large class of spaces of random variables. We sometimes obtain sharper versions, even for the well-studied case of bounded random variables. Our approach builds on two fundamental structural results for law-invariant functionals: the equivalence of law invariance and Schur convexity, i.e., monotonicity with respect to the convex stochastic order, and the fact that a law-invariant functional is fully determined by its behaviour on bounded random variables. We show how to apply these results to provide a unifying perspective on the literature on law-invariant functionals, with special emphasis on quantile-based representations, including Kusuoka representations, dilatation monotonicity, and infimal convolutions.
Penulis (4)
Fabio Bellini
Pablo Koch-Medina
Cosimo Munari
Gregor Svindland
Akses Cepat
- Tahun Terbit
- 2018
- Bahasa
- en
- Sumber Database
- arXiv
- Akses
- Open Access ✓