I want to construct a density function $f$ with support $[0,1]$, such that there exists some $q \in (0,1]$ for which the following equation has more than one solutions for $x \in [0,1]$:
$$ x=(1-q)\mathbb{E}(X)+q\mathbb{E}(X|X \leq x) $$
This boils down to:
$$ x=(1-q)\mathbb{E}(X)+q\frac{\int\limits^x_0sf(s)ds}{F(x)} $$
I have tried for several days with various polynomial functions upto cubic but I'm not able to generate such an example. Any help is most appreciated.
Apparently, cubic functions are too smooth for your purpose.
Try $q={1\over2}$ and a uniform distribution over the intervals $[0.00;0.01]\cup[0.30;0.31]\cup[0.69;0.70]\cup[0.99;1.00]$. Then of course $\mathbb E(X)=\frac12$ and ...
... you can see three intersections.