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math.FA2021★ 3 cited
Do law-invariant linear functionals collapse to the mean?
Shengzhong Chen, Niushan Gao, Denny H. Leung +1
In this note, we show that, on a wide range of rearrangement-invariant spaces, a law-invariant bounded linear functional is a scalar multiple of the expectation. We also construct…
q-fin.RM2021
Automatic Fatou Property of Law-invariant Risk Measures
Shengzhong Chen, Niushan Gao, Denny Leung +1
In the paper we investigate automatic Fatou property of law-invariant risk measures on a rearrangement-invariant function space other than . The main result…