Decomposition and Characterization of Risk with a Continuum of Random Variables
连续统随机变量生成风险的分解与刻画
The paper studies the representation and characterization of risks generated by a continuum of random variables. The Main Theorem is a characterization of a broad class of continuum processes in terms of the decomposition of risk into aggregate and idiosyncratic components, and in terms of the approximation of the continuum process by finite collections of random variables. This characterization is used to study decision making problems with anonymous and state-independent…