Characterization of Risk : A Sharp Law of Large Numbers
AbstractAn 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  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.
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Bibliographic InfoPaper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 806.
Length: 8 pages
Date of creation: 2007
Date of revision:
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- Nabil I. Al-Najjar, 1999. "Decomposition and Characterization of Risk with a Continuum of Random Variables: Corrigendum," Econometrica, Econometric Society, vol. 67(4), pages 919-920, July.
- Al-Najjar, Nabil Ibraheem, 1995. "Decomposition and Characterization of Risk with a Continuum of Random Variables," Econometrica, Econometric Society, vol. 63(5), pages 1195-1224, September.
- Hammond, Peter J. & Sun, Yeneng, 2007. "Monte Carlo Simulation of Macroeconomic Risk with a Continuum Agents : The General Case," The Warwick Economics Research Paper Series (TWERPS) 803, University of Warwick, Department of Economics.
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