2022/08/13 by Xu, Mingyu, Xu, Zuo Quan, Zhou, Xun Yu
#FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Optimization and Control (math.OC) #Probability (math.PR) #Risk Management (q-fin.RM)
paper · doi:10.48550/arxiv.2208.06535
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.