Showing 1 - 2 of 2
general utility functions, under a condition of no-arbitrage in the zero-coupon market. A mutual fund theorem is proved, in …
Persistent link: https://www.econbiz.de/10009002747
We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors through generalized quantile functions. Moreover, we propose...
Persistent link: https://www.econbiz.de/10008924659