A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS

DOI10.1111/j.1467-9965.2005.00253.xzbMath1142.28001OpenAlexW3121150347MaRDI QIDQ5700134

Rose-Anne Dana

Publication date: 27 October 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2005.00253.x

zbMATH Keywords

second-order stochastic dominanceconcave orderSchur concave functionconcave rearrangement invariant function

Mathematics Subject Classification ID

Convexity of real functions in one variable, generalizations (26A51) Miscellaneous topics in measure theory (28E99)

Related Items

Dual characterization of properties of risk measures on Orlicz hearts ⋮ The center of a convex set and capital allocation ⋮ Inverse portfolio problem with coherent risk measures ⋮ CHEBYSHEV INEQUALITIES WITH LAW-INVARIANT DEVIATION MEASURES ⋮ A Neyman-Pearson problem with ambiguity and nonlinear pricing ⋮ Extended Gini-Type Measures of Risk and Variability ⋮ OPTIMALITY OF PAYOFFS IN LÉVY MODELS ⋮ Premiums and reserves, adjusted by distortions ⋮ Optimal risk sharing with general deviation measures ⋮ Portfolio selection based on extended Gini shortfall risk measures ⋮ Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities ⋮ Optimal stopping under probability distortion ⋮ Mean-field BSDEs with jumps and dual representation for global risk measures ⋮ Dilatation monotonicity and convex order ⋮ Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\) ⋮ Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities ⋮ Risk measures with comonotonic subadditivity or convexity and respecting stochastic orders ⋮ Are generalized call-spreads efficient? ⋮ Kusuoka representations of coherent risk measures in general probability spaces ⋮ SCHUR CONVEX FUNCTIONALS: FATOU PROPERTY AND REPRESENTATION ⋮ COMONOTONIC MEASURES OF MULTIVARIATE RISKS ⋮ Certainty equivalent measures of risk ⋮ COOPERATIVE GAMES WITH GENERAL DEVIATION MEASURES ⋮ Are law-invariant risk functions concave on distributions? ⋮ ERRATUM TO “BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME” ⋮ A numerical approach for a class of risk-sharing problems ⋮ On the Method of Optimal Portfolio Choice by Cost-Efficiency ⋮ Optimal payoffs under state-dependent preferences ⋮ The natural Banach space for version independent risk measures ⋮ Inverse portfolio problem with mean-deviation model ⋮ Robust optimal risk sharing and risk premia in expanding pools ⋮ ON THE PENALTY FUNCTION AND ON CONTINUITY PROPERTIES OF RISK MEASURES ⋮ Characterization, Robustness, and Aggregation of Signed Choquet Integrals ⋮ Construction and Hedging of Optimal Payoffs in Lévy Models ⋮ PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES ⋮ On convex risk measures on \(L^{p}\)-spaces ⋮ COHERENCE AND ELICITABILITY ⋮ RISK MEASURES: RATIONALITY AND DIVERSIFICATION ⋮ Law-Invariant Functionals on General Spaces of Random Variables ⋮ An overview of representation theorems for static risk measures ⋮ Risk Measures and Robust Optimization Problems ⋮ Efficient allocations under law-invariance: a unifying approach ⋮ Quasiconvex risk statistics with scenario analysis ⋮ Minimal representation of insurance prices ⋮ Vigilant measures of risk and the demand for contingent claims

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Market behavior when preferences are generated by second-order stochastic dominance
• Symmetric upper probabilities
• Pareto efficient insurance contracts when the insurer's cost function is discontinuous
• On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
• Arrow's theorem on the optimality of deductibles: A stochastic dominance approach
• Rearrangement inequalities in non-convex insurance models
• Risk measures via \(g\)-expectations
• Measure preserving transformations and rearrangements
• Sur quelques applications des fonctions convexes et concaves au sens de I. Schur
• Law invariant risk measures have the Fatou property
• Portfolio Efficient Sets
• A Price Characterization of Efficient Random Variables
• The Existence of Probability Measures with Given Marginals
• A SHORT NOTE ON SECOND‐ORDER STOCHASTIC DOMINANCE PRESERVING COHERENT RISK MEASURES
• Equivalent Comparisons of Experiments
• Inequalities: theory of majorization and its applications