OPTIMAL DEMAND FOR CONTINGENT CLAIMS WHEN AGENTS HAVE LAW INVARIANT UTILITIES
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Publication:3084596
DOI10.1111/j.1467-9965.2010.00431.xzbMath1230.91173OpenAlexW1644960063MaRDI QIDQ3084596
Guillaume Carlier, Rose-Anne Dana
Publication date: 25 March 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00431.x
Stochastic models in economics (91B70) Utility theory (91B16) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
- Risk aversion in the theory of expected utility with rank dependent probabilities
- Advances in prospect theory: cumulative representation of uncertainty
- Core of convex distortions of a probability.
- Non-time additive utility optimization -- the case of certainty
- A unifying approach to axiomatic non-expected utility theories
- On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
- The comonotonic sure-thing principle
- Rearrangement inequalities in non-convex insurance models
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
- Prospect Theory: An Analysis of Decision under Risk
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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