OPTIMAL DEMAND FOR CONTINGENT CLAIMS WHEN AGENTS HAVE LAW INVARIANT UTILITIES (Q3084596): Difference between revisions

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+MaRDI publication profile
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+https://doi.org/10.1111/j.1467-9965.2010.00431.x
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+W1644960063
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@@ Property / cites work @@
+Non-time additive utility optimization -- the case of certainty
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+Core of convex distortions of a probability.
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+Rearrangement inequalities in non-convex insurance models
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+Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
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+Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
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+A unifying approach to axiomatic non-expected utility theories
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+Risk aversion in the theory of expected utility with rank dependent probabilities
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+The comonotonic sure-thing principle
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+BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
@@ Property / cites work: BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME / rank @@
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+OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
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+Prospect Theory: An Analysis of Decision under Risk
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+On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
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+Advances in prospect theory: cumulative representation of uncertainty
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+Publication:3084596