On the minimal members of convex expectations (Q624553): Difference between revisions

The paper deals with the notion of convex expectation, which is a monotone constant-preserving convex functional defined over integrable random variables. The class of convex expectations contains some important functionals arising in mathematical finance: Choquet expectations, risk measures, \(G\)-expectations and some \(g\)-expectations; this fact comes as a motivation of the paper. The main result of the authors is that the set of minimal convex expectations coincides with the set of linear expectations. In addition, they prove a sandwich theorem: between a convex expectation and a smaller concave expectation there exists a linear expectation.