论文标题
$ g $ - 分布
$g$-Expectation of Distributions
论文作者
论文摘要
我们将分配的$ g $指望定义为所有终端随机变量共享该分布的$ g $的信息。我们提出了两个非线性$ g $的特殊情况，其中可以明确提出$ g $的分布。作为一个相关问题，我们介绍了法律不变的$ g $期望的概念，并提供了足够的条件。提供了财务动态投资组合选择中的应用示例。
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.
