EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
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Publication:3520342
DOI10.1142/S0219024908004828zbMATH Open1151.91608MaRDI QIDQ3520342FDOQ3520342
Authors: Damir Filipović, Michael Kupper 
Publication date: 26 August 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Cites Work
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- Monotone and cash-invariant convex functions and hulls
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Cited In (34)
- An Equilibrium Model for Spot and Forward Prices of Commodities
- Coupled projects, core imputations, and the CAPM
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Optimal risk sharing under distorted probabilities
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- Risk minimization and optimal derivative design in a principal agent game
- Optimal risk sharing in insurance networks. An application to asset-liability management
- Monotonicity of equilibrium prices with respect to aggregate resources
- Optimal risk sharing with non-monotone monetary functionals
- Monetary equilibrium with buying and selling price spread without transactions costs
- COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
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- The center of a convex set and capital allocation
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- Optimal risk sharing with different reference probabilities
- Equilibrium Pricing Under Relative Performance Concerns
- RISK MEASURES: RATIONALITY AND DIVERSIFICATION
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- Group cohesion under individual regulatory constraints
- Jensen's inequality for monetary utility functions
- Extended gradient of convex function and capital allocation
- Partial equilibria with convex capital requirements: existence, uniqueness and stability
- Synergy effect of cooperative investment
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