Hey all,
I've been searching for some knowledge on ordering of sums of quantiles. I've found some requirements such that, for RVs X, Y:
C_{q}(X + Y) > Cq(X) + C_{q}(Y)
However, I need to find out for what RVs X, Y, Z the following holds:
C_{q}(X + Y + Z)/(C_{q}(X) + C_{q}(Y) + C_{q}(Z)) > C_{q}(X + Y)/(C_{q}(X) + C_{q}(Y))
I need this result for a game theoretic problem with quantile utility functions. Anyone has any idea for what RVs this would hold?
Any help is appreciated. Thanks!