Not Strassen's theorem

Abstract

Suppose there is an uncertain state of the world, drawn from a CDF G. It is well known that the random posterior mean induced (via Bayes's rule) by a signal must have a distribution F that is a mean-preserving contraction of G, and conversely that any mean-preserving contraction is induced by some signal. This is not Strassen's (1965) theorem! It is a distinct result, versions of which were stated (or at least alluded to) by Hardy, Littlewood and Polya (1929), Blackwell (1951) and Kolotilin (2014). I give a precise statement and a complete proof.