Comonotone Pareto optimal allocations for law invariant robust utilities on L <Superscript>1</Superscript>
Year of publication: |
2014
|
---|---|
Authors: | Ravanelli, Claudia ; Svindland, Gregor |
Published in: |
Finance and Stochastics. - Springer. - Vol. 18.2014, 1, p. 249-269
|
Publisher: |
Springer |
Subject: | Comonotone Pareto optimal allocations | Variational preferences | Robust utility | Probabilistic sophistication | Law invariance | Ambiguity aversion | Weighted sup-convolution |
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