Search Results - subject:"Law invariant utilities"

Narrow search

Optimal Demand for Contingent Claims when Agents have law Invariant Utilities

Dana, Rose-Anne; Carlier, Guillaume - Université Paris-Dauphine (Paris IX) - 2011

We consider a class of law invariant utilities which contains the Rank Dependent Expected Utility (RDU) and the …

Persistent link: https://www.econbiz.de/10011073758

Optimal Demand for Contingent Claims when Agents have law Invariant Utilities.

Dana, Rose-Anne; Carlier, Guillaume - Université Paris-Dauphine - 2011

We consider a class of law invariant utilities which contains the Rank Dependent Expected Utility (RDU) and the …

Persistent link: https://www.econbiz.de/10008551610

Comonotonicity, Efficient Risk-sharing and Equilibria in markets with short-selling for concave law-invariant utilities

Dana, Rose-Anne - HAL - 2011

coincides with the class of strictly concave law-invariant utilities. A key tool of the analysis is the domination result of …

Persistent link: https://www.econbiz.de/10009401085

Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities

Dana, Rose-Anne; Carlier, Guillaume - Université Paris-Dauphine (Paris IX) - 2008

Efficient risk-sharing rules and equilibria between two agents with utilities in a class that contains the Rank Dependent Expected Util- ity (RDU) are fully characterized. Speciﬁc attention is given to the RDU. Call-spreads and contracts with mixed regimes are shown to be efficient....

Persistent link: https://www.econbiz.de/10011072557

Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities.

Dana, Rose-Anne; Carlier, Guillaume - Université Paris-Dauphine - 2008

Persistent link: https://www.econbiz.de/10008543995