Law-Invariant Functionals on General Spaces of Random Variables
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Abstract: 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.
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- Law-invariant functionals that collapse to the mean: beyond convexity
- Automatic Fatou property of law-invariant risk measures
- Dilatation monotonicity and convex order
- Is the inf-convolution of law-invariant preferences law-invariant?
- Efficiency in pure-exchange economies with risk-averse monetary utilities
- Risk preferences on the space of quantile functions
- Distortion risk measures: prudence, coherence, and the expected shortfall
- A note on robust representations of law-invariant quasiconvex functions
- Schur convex functionals: Fatou property and representation
- Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
- Inf-convolution and optimal risk sharing with countable sets of risk measures
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