$g$-Expectation of Distributions

Mingyu Xu, Zuo Quan Xu and Xun Yu Zhou

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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.

Date: 2022-08
New Economics Papers: this item is included in nep-rmg
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