Co-monotonicity of optimal investments and the design of structured financial products
DOI10.1007/S00780-009-0117-9zbMATH Open1303.91160OpenAlexW3124792475MaRDI QIDQ483696FDOQ483696
Authors: Marc Oliver Rieger 
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://www.zora.uzh.ch/id/eprint/156728/1/ZORA_NL_156728.pdf
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Individual preferences (91B08) Inequalities; stochastic orderings (60E15) Portfolio theory (91G10) Applications of optimal control and differential games (49N90)
Cites Work
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- Inequalities for E k(X, Y) when the marginals are fixed
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Pricing of non-redundant derivatives in a complete market
- Comonotonic processes
- Conditional comonotonicity
- Rearrangement inequalities in non-convex insurance models
Cited In (12)
- Cost-efficient contingent claims with market frictions
- Can utility optimization explain the demand for structured investment products?
- Portfolio selection based on extended Gini shortfall risk measures
- Optimal portfolios under worst-case scenarios
- The pricing kernel puzzle: survey and outlook
- On the optimality of path-dependent structured funds: the cost of standardization
- Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
- Risk classes for structured products: mathematical aspects and their implications on behavioral investors
- MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES
- Characterization of acceptance sets for co-monotone risk measures
- Utility maximization with a given pricing measure when the utility is not necessarily concave
- Measure preserving derivatives and the pricing kernel puzzle
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