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Time-Consistent Conditional Expectation Under Probability Distortion

Ma, J; Wong, TKL; Zhang, JF

Ma, J (corresponding author), Univ Southern Calif, Dept Math, Los Angeles, CA 90089 USA.

MATHEMATICS OF OPERATIONS RESEARCH, 2021; 46 (3): 1149

Abstract

We introduce a new notion of conditional nonlinear expectation under probability distortion. Such a distorted nonlinear expectation is not subadditive......

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