On conditioning and consistency for nonlinear functionals

DOI10.1137/24M1687704MaRDI QIDQ6948692zbMATH OpenFDO

Authors Edoardo Berton, Alessandro Doldi, Marco Maggis

Publication date 5 August 2025

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

Full work available at URL https://hdl.handle.net/2434/1174220

zbMATH Keywords

Chisini meanconditional certainty equivalentconsistencynonlinear expectationpointwise continuitystate-dependent expected utilitysure-thing principle

Mathematics Subject Classification ID

Axioms; other general questions in probability (60A05) Decision theory (91B06) Individual preferences (91B08)

Cites work

• A simplified approach to subjective expected utility
• An Elementary Proof that the First Hitting Time of an Open Set by a Jump Process is a Stopping Time
• Benchmarking real-valued acts
• Commonotonicity and time-consistency for Lebesgue-continuous monetary utility functions
• Conditional certainty equivalent
• Convex monotone semigroups on lattices of continuous functions
• Filtration-consistent nonlinear expectations and related g-expectations
• scientific article; zbMATH DE number 42424 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 194094 (Why is no real title available?)
• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
• scientific article; zbMATH DE number 2144817 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3307201 (Why is no real title available?)
• scientific article; zbMATH DE number 3395595 (Why is no real title available?)
• scientific article; zbMATH DE number 3073200 (Why is no real title available?)
• scientific article; zbMATH DE number 3087284 (Why is no real title available?)
• Infinite dimensional analysis. A hitchhiker's guide.
• Kolmogorov-type and general extension results for nonlinear expectations
• Law-invariant functionals that collapse to the mean
• On conditional Chisini means and risk measures
• Representation results for law invariant time consistent functions
• RISK MEASURES: RATIONALITY AND DIVERSIFICATION
• Spatial risk measures and their local specification: the locally law-invariant case
• Spatial risk measures: local specification and boundary risk
• State dependent expected utility for Savage's state space
• Stochastic dynamic utilities and intertemporal preferences
• Stochastic finance. An introduction in discrete time.
• Sul concetto di media.
• Theory of decision under uncertainty

This page was built for publication: On conditioning and consistency for nonlinear functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6948692)