g-expectation of distributions

DOI10.3934/PUQR.2022021MaRDI QIDQ2096196zbMATH OpenOpenAlexFDO

Authors Mingyu Xu, Zuo Quan Xu, Xun Yu Zhou

Publication date 16 November 2022

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2208.06535

zbMATH Keywords

\(g\)-expectationBSDEcost efficiencylaw-invarianceportfolio selectionprobability distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Abstract: We define $g$-expectation of a distribution as the infimum of the $g$-expectations of all the terminal random variables sharing that distribution. We present two special cases for nonlinear $g$ where the $g$-expectation of distributions can be explicitly derived. As a related problem, we introduce the notion of law-invariant $g$-expectation and provide its sufficient conditions. Examples of application in financial dynamic portfolio choice are supplied.

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Cites work

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• scientific article; zbMATH DE number 1066320 (Why is no real title available?)
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Cited in

(9)

• The optimal portfolio selection model under \(g\)-expectation
• A property of g-expectation
• \(g\)-variance
• Dynkin's formula under the \(G\)-expectation
• Risk measures via g-expectations
• Utility maximization under \(g^\ast\)-expectation
• Law invariance of \(g\)-expectations
• Monotonicity and convergence for g-expectation of distributions
• On the integral representation of \(g\)-expectations

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