Bipolar behavior of submodular, law-invariant capacities

DOI10.1515/strm-2020-0025zbMath1484.91524OpenAlexW3207470668MaRDI QIDQ2076039

Massimiliano Amarante

Publication date: 18 February 2022

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2020-0025

zbMATH Keywords

expected shortfallLyapunov theoremunambiguous eventsanticorelaw-invariant capacitiessubmodular capacities

Mathematics Subject Classification ID

Contents, measures, outer measures, capacities (28A12) Financial applications of other theories (91G80)

Related Items (1)

Law-invariant functionals that collapse to the mean: beyond convexity

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