A note on optimal risk sharing on $L^p$ spaces

DOI10.1016/j.orl.2016.01.001zbMath1408.91101OpenAlexW2236407910MaRDI QIDQ1785746

Eduard Kromer, Ludger Overbeck

Publication date: 1 October 2018

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2016.01.001

zbMATH Keywords

Pareto optimalityrisk sharingportfolio theorylaw-invariant convex risk measuresmaximum risk measure

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Related Items

The average risk sharing problem under risk measure and expected utility theory

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