EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
From MaRDI portal
Publication:3520342
Recommendations
Cites work
- scientific article; zbMATH DE number 1266748 (Why is no real title available?)
- scientific article; zbMATH DE number 1022519 (Why is no real title available?)
- Allocation of risks and equilibrium in markets with finitely many traders
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Arbitrage and the Existence of Competitive Equilibrium
- Arbitrage, duality and asset equilibria
- Coherent measures of risk
- Convex measures of risk and trading constraints
- Existence, uniqueness and determinacy of equilibrium in C. A. P. M. with a riskless asset
- Generalized deviations in risk analysis
- Inf-convolution of risk measures and optimal risk transfer
- Maxmin expected utility with non-unique prior
- Monotone and cash-invariant convex functions and hulls
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Optimal risk sharing with non-monotone monetary functionals
- Pareto Equilibria with coherent measures of risk
Cited in
(35)- Coupled projects, core imputations, and the CAPM
- Risk trading and endogenous probabilities in investment equilibria
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Optimal risk sharing under distorted probabilities
- Risk minimization and optimal derivative design in a principal agent game
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- A note on Jensen's inequality involving monetary utility functions
- Optimal risk sharing in insurance networks. An application to asset-liability management
- Monotonicity of equilibrium prices with respect to aggregate resources
- Portfolio optimization with quasiconvex risk measures
- Optimal risk sharing with non-monotone monetary functionals
- Monetary equilibrium with buying and selling price spread without transactions costs
- On securitization, market completion and equilibrium risk transfer
- Exchanges and measures of risks
- An equilibrium model for spot and forward prices of commodities
- Fairness principles for insurance contracts in the presence of default risk
- Risk sharing for capital requirements with multidimensional security markets
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- The center of a convex set and capital allocation
- Hedging, Pareto optimality, and good deals
- On agent's agreement and partial-equilibrium pricing in incomplete markets
- scientific article; zbMATH DE number 1795156 (Why is no real title available?)
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Equilibrium pricing in incomplete markets under translation invariant preferences
- Efficiency in pure-exchange economies with risk-averse monetary utilities
- Optimal risk sharing with different reference probabilities
- Equilibrium Pricing Under Relative Performance Concerns
- RISK MEASURES: RATIONALITY AND DIVERSIFICATION
- Jensen's inequality for monetary utility functions
- Competitive equilibria with distortion risk measures
- Group cohesion under individual regulatory constraints
- Extended gradient of convex function and capital allocation
- Partial equilibria with convex capital requirements: existence, uniqueness and stability
- Synergy effect of cooperative investment
- Risk sharing with expected and dual utilities
This page was built for publication: EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3520342)
