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http://hdl.handle.net/10397/99073
| Title: | g-expectation of distributions | Authors: | Xu, M Xu, ZQ Zhou, XY |
Issue Date: | Dec-2022 | Source: | Probability uncertainty and quantitative risk, Dec. 2022, v. 7, no. 4, p. 385-404 | Abstract: | We define g-expectation of a distribution as the infimum of the g-expectations of all the terminal random variables sharing that distribution. We present two special cases for nonlinear g where the g-expectation of distributions can be explicitly derived. As a related problem, we introduce the notion of law-invariant g-expectation and provide its sufficient conditions. Examples of application in financial dynamic portfolio choice are supplied. | Keywords: | BSDE Cost efficiency g-expectation Law-invariance Portfolio selection Probability distribution |
Publisher: | Springer | Journal: | Probability uncertainty and quantitative risk | ISSN: | 2367-0126 | DOI: | 10.3934/puqr.2022021 | Rights: | © Shandong University and AIMS, LLC This article has been published in a revised form in Probability, Uncertainty and Quantitative Risk https://www.aimsciences.org/puqr. This version is free to download for private research and study only. Not for redistribution, re-sale or use in derivative works. |
| Appears in Collections: | Journal/Magazine Article |
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| g-exp22.pdf | Pre-Published version | 951.56 kB | Adobe PDF | View/Open |
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