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Y^n(X_{t+1})|(X_{t+1})$, so the two inequalities are equivalent.

We now show that is a valid entropic risk measure. Since $\mathcal{X}$ is Polish, it is metrizable, and so we can use the metrizability of $\mathcal{Z}$ to show it is weakly lower semicontinuous. Let $X_1^\theta\in\mathcal{X}$ for all $\theta\in\Theta$, and define $Z_{t+1}^\theta:=\sum_{s=1}^{t}Y_s^\theta$. Then, from the definition of $Y^n$, $$\begin{aligned}
&\liminf_{\theta\in\Theta}\liminf_{n\to\infty}\frac{\theta^\top Z^n_{t+1}}{n}\leq\liminf_{\theta\in\Theta}\liminf_{n\to\infty}\frac{\theta^\top E[Y_{t+1}|X_{t+1}]}{n}\\
&\hspace{1.7in}\leq E[\liminf_{\theta\in\Theta
37a470d65a

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