One-Cut Risk Profiles under Quadratic Loss: Discrete Convexity, Continuous Limits, and Higher Dimensions

RESUMO

In this note we study a two-regime representation of a loss random variable under quadratic error. For a finite law we compute exactly the change of the optimal risk when one atom crosses the cut. This turns the problem into a convexity question in cumulative-mass coordinates. On an equally spaced support, log-concavity gives this convexity, while weak symmetry locates the optimal cut, with an additional correction when the mean lies between two atoms. We also discuss the continuous analogue and extend the main identities to finitely supported random vectors, where a global optimal partition may be chosen as a halfspace.