A Note on g -Concave Function

Acta Mathematica Scientia（2019）

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摘要

An equivalent condition is derived for g -concave function defined by (static) g -expectation. Several extensions including quadratic generators and ( g, h )-concavity are also considered.

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关键词

g-convexity, Jensen’s inequality, g-expectation, risk aversion, 60H10

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