arXiv q-fin· Lilian Hu, Ruodu Wang·· 5 hr agoAI Score31
An Axiomatic Characterization of Jensen Gaps and Decomposition Principles
Jensen gaps and the decomposition principle
AI summary
This study provides an axiomatic characterization of Jensen gap functionals of the form $\rho(X)=\mathbb{E}[f(X)]-f(\mathbb{E}[X])$, which encompass canonical examples including excess growth rate, utility premium, KL divergence, and variance, and are closely related to measures of variability.
Source:arXiv q-fin · arxiv.org