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.2010.12.016zbMath1242.91075OpenAlexW2153315338MaRDI QIDQ433148
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
aggregationPareto efficiencycomonotonicityequilibria with short-sellinglaw invariant utilitiesrepresentative agent
Related Items (7)
COMPETITIVE EQUILIBRIA WITH DISTORTION RISK MEASURES ⋮ The effect of market power on risk-sharing ⋮ Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\) ⋮ Synergy effect of cooperative investment ⋮ ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES ⋮ Robust optimal risk sharing and risk premia in expanding pools ⋮ Efficient allocations under law-invariance: a unifying approach
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