Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)

DOI10.1007/s00780-013-0214-7zbMath1307.91076OpenAlexW1993483736MaRDI QIDQ471182

Gregor Svindland, Claudia Ravanelli

Publication date: 14 November 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-013-0214-7

zbMATH Keywords

ambiguity aversionvariational preferenceslaw invariancecomonotone Pareto optimal allocationsprobabilistic sophisticated variational preferencerobust utilityweighted sup-convolution

Mathematics Subject Classification ID

Related Items (7)

Intragroup transfers, intragroup diversification and their risk assessment ⋮ Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion ⋮ Risk sharing for capital requirements with multidimensional security markets ⋮ Robust optimal risk sharing and risk premia in expanding pools ⋮ Law-Invariant Functionals on General Spaces of Random Variables ⋮ Efficient allocations under law-invariance: a unifying approach ⋮ Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures

Cites Work

• Unnamed Item
• Unnamed Item
• Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities
• Probabilistic sophistication and variational preferences
• On comonotonicity of Pareto optimal risk sharing
• Optimal capital and risk allocations for law- and cash-invariant convex functions
• Maxmin expected utility with non-unique prior
• Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
• Convex measures of risk and trading constraints
• Continuity properties of law-invariant (quasi-)convex risk functions on \(L^{\infty}\)
• Optimal risk sharing with non-monotone monetary functionals
• Inf-convolution of risk measures and optimal risk transfer
• Coherent Measures of Risk
• Subjective Beliefs and ex ante Trade
• Robust Preferences and Robust Portfolio Choice
• CASH SUBADDITIVE RISK MEASURES AND INTEREST RATE AMBIGUITY
• A More Robust Definition of Subjective Probability
• The Dual Theory of Choice under Risk
• THE CANONICAL MODEL SPACE FOR LAW‐INVARIANT CONVEX RISK MEASURES IS L¹
• Characterization of optimal risk allocations for convex risk functionals
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• Equilibrium in a Reinsurance Market
• Stochastic finance. An introduction in discrete time

This page was built for publication: Comonotone Pareto optimal allocations for law invariant robust utilities on \(L^1\)