CHOQUET INSURANCE PRICING: A CAVEAT
研究表明，如果市场价格是乔奎特期望，一个无摩擦资产的存在可能迫使整个市场变得无摩擦；任何风险资产都会导致这种崩溃，除非价格仅依赖于给定非原子概率测度的分布。
We show that, if prices in a market are Choquet expectations, the existence of one frictionless asset may force the whole market to be frictionless. Any risky asset will cause this collapse if prices depend only on the distribution with respect to a given nonatomic probability measure; the frictionless asset has to be fully revealing if such dependence is not assumed. Similar considerations apply to law‐invariant coherent risk measures.