Optimal Risk Sharing for Law Invariant Monetary Utility Functions
Year of publication: |
2007
|
---|---|
Authors: | Jouini, Elyès ; Schachermayer, Walter ; Touzi, Nizar |
Institutions: | HAL |
Subject: | Monetary utility functions | comonotonicity | Pareto optimal allocations |
-
Optimal Risk Sharing for Law Invariant Monetary Utility Functions
Jouini, Elyès, (2008)
-
Napp, Clotilde, (2003)
-
Jouini, Elyès, (2003)
- More ...
-
Law Invariant Risk Measures Have the Fatou Property
Jouini, Elyès, (2006)
-
Vector-valued Coherent Risk Measures
Jouini, Elyès, (2004)
-
Vector-valued Coherent Risk Measures
Jouini, Elyès, (2004)
- More ...