Certainty equivalents for multivariate risks satisfying law-invariance, monotonicity under vector stochastic dominance, and invariance to independent background risk are positive mixtures of scalar entropic certainty equivalents on positive projections.
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Multidimensional Risk Made Easy
Certainty equivalents for multivariate risks satisfying law-invariance, monotonicity under vector stochastic dominance, and invariance to independent background risk are positive mixtures of scalar entropic certainty equivalents on positive projections.