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Characterization of risk: a sharp law of large numbers

By Peter J. Hammond and Yeneng Sun

Abstract

An extensive literature in economics uses a continuum of random variables to model individual random shocks imposed on a large population. Let H denote the Hilbert space of square-integrable random variables. A key concern is to characterize the family of all H-valued functions that satisfy the law of large numbers when a large sample of agents is drawn at random. We use the iterative extension of an infinite product measure introduced in [6] to formulate a “sharp” law of large numbers. We prove that an H-valued function satisfies this law if and only if it is both Pettis-integrable and norm integrably bounded

Topics: HB, QA
Publisher: University of Warwick, Department of Economics
Year: 2007
OAI identifier: oai:wrap.warwick.ac.uk:1407

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Citations

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