Revisiting the automatic Fatou property of law-invariant functionals
| Authors |
|
|---|---|
| Publication date | 2025 |
| Journal | SIAM Journal on Financial Mathematics |
| Volume | Issue number | 16 | 1 |
| Pages (from-to) | SC1-SC11 |
| Number of pages | 11 |
| Organisations |
|
| Abstract | We provide three simple and direct proofs of the automatic Fatou property of quasiconvex law-invariant functionals on bounded random variables. The key ingredient is Day’s generalization of Hardy–Littlewood bounds to a finitely additive setting. |
| Document type | Article |
| Note | Short Communication |
| Language | English |
| Published at | https://doi.org/10.1137/24M1653021 |
| Downloads |
24m1653021
(Final published version)
|
| Permalink to this page | |