Co-monotonicity of optimal investments and the design of structured financial products
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Cites work
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 3106184 (Why is no real title available?)
- "Expected Utility" Analysis without the Independence Axiom
- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Comonotonic processes
- Conditional comonotonicity
- Core of convex distortions of a probability.
- Cumulative prospect theory and the St. Petersburg paradox
- Inequalities for E k(X, Y) when the marginals are fixed
- Pricing of non-redundant derivatives in a complete market
- Prospect Theory: An Analysis of Decision under Risk
- Rearrangement inequalities in non-convex insurance models
- Stochastic finance. An introduction in discrete time
- The concept of comonotonicity in actuarial science and finance: theory.
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
- The pricing kernel puzzle: survey and outlook
- On the optimality of path-dependent structured funds: the cost of standardization
- Optimal portfolios under worst-case scenarios
- Risk classes for structured products: mathematical aspects and their implications on behavioral investors
- Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
- 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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