Nonlinear expectations of random sets

DOI10.1007/S00780-020-00442-3MaRDI QIDQ2022754zbMATH OpenOpenAlexFDO

Authors Anja Mühlemann, Ilya S. Molchanov

Publication date 29 April 2021

Published in Finance and Stochastics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1903.04901

zbMATH Keywords

utilitytransaction costsset-valued functionrandom setsublinear expectationselection expectationmultiasset portfoliosuperlinear expectation

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20)

Abstract: Sublinear functionals of random variables are known as sublinear expectations; they are convex homogeneous functionals on infinite-dimensional linear spaces. We extend this concept for set-valued functionals defined on measurable set-valued functions (which form a nonlinear space), equivalently, on random closed sets. This calls for a separate study of sublinear and superlinear expectations, since a change of sign does not convert one to the other in the set-valued setting. We identify the extremal expectations as those arising from the primal and dual representations of them. Several general construction methods for nonlinear expectations are presented and the corresponding duality representation results are obtained. On the application side, sublinear expectations are naturally related to depth trimming of multivariate samples, while superlinear ones can be used to assess utilities of multiasset portfolios.

Recommendations

• Nonlinear expectations and limit theorems
• scientific article; zbMATH DE number 6409512
• On the Conditional Expectation and Convergence Properties of Random Sets
• Nonlinear expectations and nonlinear Markov chains
• Some properties of nonlinear expectations
• Conditional expectation of integrands and random sets
• Random sets, copulas and related sets of probability measures
• scientific article; zbMATH DE number 1336739
• scientific article; zbMATH DE number 4169777

Cites work

• scientific article; zbMATH DE number 439380 (Why is no real title available?)
• scientific article; zbMATH DE number 1092343 (Why is no real title available?)
• scientific article; zbMATH DE number 2144817 (Why is no real title available?)
• scientific article; zbMATH DE number 1857850 (Why is no real title available?)
• scientific article; zbMATH DE number 3351988 (Why is no real title available?)
• A characterization theorem for Aumann integrals
• A duality theory for set-valued functions. I: Fenchel conjugation theory
• A strong law of large numbers for random compact sets
• Asset pricing theory for two price economies
• Complete duality for quasiconvex and convex set-valued functions
• Conditional cores and conditional convex hulls of random sets
• Cones and duality
• Convex Bodies The Brunn-MinkowskiTheory
• Data depth: multivariate statistics and geometry
• Duality for set-valued measures of risk
• General notions of statistical depth function.
• Hedging of claims with physical delivery under convex transaction costs
• Integral Representation Without Additivity
• Integrals of set-valued functions
• Integrals, conditional expectations, and martingales of multivalued functions
• Lift expectations of random sets
• Markets with transaction costs. Mathematical theory.
• Multivariate dispersion, central regions and depth. The lift zonoid approach
• Multivariate risk measures: a constructive approach based on selections
• Multivariate risks and depth-trimmed regions
• Nonlinear expectations and stochastic calculus under uncertainty. With robust CLT and \(G\)-Brownian motion
• On convex risk measures on \(L^{p}\)-spaces
• Random Sets in Econometrics
• Risk arbitrage and hedging to acceptability under transaction costs
• Scalar convergence of convex sets
• Set-valued optimization. An introduction with applications
• Set-valued risk measures for conical market models
• Stochastic finance. An introduction in discrete time
• Theory of Random Sets

Cited in

(10)

• Convex bodies generated by sublinear expectations of random vectors
• On semiclassical state of a nonlinear Dirac equation
• Conditional nonlinear expectations
• scientific article; zbMATH DE number 6409512 (Why is no real title available?)
• Set-valued risk measures as backward stochastic difference inclusions and equations
• Depth and outliers for samples of sets and random sets distributions
• Nonlinear expectations and limit theorems
• Short communication: on the separability of vector-valued risk measures
• scientific article; zbMATH DE number 3342854 (Why is no real title available?)
• The translative expectation of a random set

This page was built for publication: Nonlinear expectations of random sets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2022754)