Skip to main content
2 votes
Accepted

Expectation under convex order

The implication does not hold. For example, let $M \equiv 0$, $N$ be the Radamacher random variable (i.e., $P(N = \pm 1) = \frac{1}{2}$). Then for any concave function $u$, it follows by Jensen's ...
Zhanxiong's user avatar
  • 20.3k

Only top scored, non community-wiki answers of a minimum length are eligible