We provide a tractable characterization of the sharp identification region of the parameters θ in a broad class of incomplete econometric models. Models in this class have set-valued predictions that yield a convex set of conditional or unconditional moments for the model variables. In short,...

It is known that each symmetric stable distribution in is related to a norm on that makes embeddable in Lp([0,1]). In the case of a multivariate Cauchy distribution the unit ball in this norm is the polar set to a convex set in called a zonoid. This work interprets symmetric stable laws using...

We describe a general framework for measuring risks, where the risk measure takes values in an abstract cone. It is shown that this approach naturally includes the classical risk measures and set-valued risk measures and yields a natural definition of vector-valued risk measures. Several main...