Fritz, Tobias and Tamuz, Omer (2019) There are no monotone homomorphisms out of the convolution semigroup. . (Unpublished) https://resolver.caltech.edu/CaltechAUTHORS:20200123-105749369
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Abstract
We prove that there is no nonzero way of assigning real numbers to probability measures on R in a way which is monotone under first-order stochastic dominance and additive under convolution.
| Item Type: | Report or Paper (Discussion Paper) | ||||||
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| Alternate Title: | There is no good way to quantify fat tailed distributions | ||||||
| Additional Information: | T. Fritz would like to thank Lu Chen for discussion. O. Tamuz was supported by the Simons Foundation (#419427) and by the BSF (#2018397). | ||||||
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| Classification Code: | 2010 Mathematics Subject Classification. Primary: 60E15 (stochastic orderings); Secondary: 06F05 (ordered semigroups and monoids) | ||||||
| Record Number: | CaltechAUTHORS:20200123-105749369 | ||||||
| Persistent URL: | https://resolver.caltech.edu/CaltechAUTHORS:20200123-105749369 | ||||||
| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||
| ID Code: | 100877 | ||||||
| Collection: | CaltechAUTHORS | ||||||
| Deposited By: | Tony Diaz | ||||||
| Deposited On: | 23 Jan 2020 19:01 | ||||||
| Last Modified: | 15 Jun 2020 23:16 |
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