paper

Two Moments for Risk-Monotone Additive Statistics

arXiv:2608.10883

Abstract

Every statistic on laws with finite pth moment that is additive across independent risks and monotone in mean-preserving spreads depends only on an additive function of the mean when p is strictly less than 2, and only on such a function and a nonnegative multiple of the variance when p is no less than 2.

Two Moments for Risk-Monotone Additive Statistics · wovepaper