Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
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Publication:433148
DOI10.1016/J.JMATECO.2010.12.016zbMATH Open1242.91075OpenAlexW2153315338MaRDI QIDQ433148FDOQ433148
Publication date: 13 July 2012
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2010.12.016
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aggregationcomonotonicityPareto efficiencyequilibria with short-sellinglaw invariant utilitiesrepresentative agent
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Cited In (9)
- COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES
- Robust optimal risk sharing and risk premia in expanding pools
- Efficient allocations under law-invariance: a unifying approach
- Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES
- Synergy effect of cooperative investment
- The effect of market power on risk-sharing
- Bilateral risk sharing in a comonotone market with rank-dependent utilities
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