Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
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Publication:433148
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Cites work
- scientific article; zbMATH DE number 43981 (Why is no real title available?)
- scientific article; zbMATH DE number 5489316 (Why is no real title available?)
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Cited in
(13)- Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)
- Arrow-Debreu equilibria for rank-dependent utilities
- Bilateral risk sharing in a comonotone market with rank-dependent utilities
- Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
- Competitive equilibria in a comonotone market
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Synergy effect of cooperative investment
- Overlapping risk adjusted sets of priors and the existence of efficient allocations and equilibria with short-selling
- Robust optimal risk sharing and risk premia in expanding pools
- Competitive equilibria with distortion risk measures
- Pareto efficiency for the concave order and multivariate comonotonicity
- Efficient allocations under law-invariance: a unifying approach
- The effect of market power on risk-sharing
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