Search Results - subject:"Law invariant utilities"

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Efficient allocations under law-invariance : a unifying approach

Liebrich, Felix-Benedikt; Svindland, Gregor - In: Journal of mathematical economics 84 (2019), pp. 28-45

Persistent link: https://www.econbiz.de/10012310796

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

Comonotonicity, efficient risk-sharing and equilibria in markets with short-selling for concave law-invariant utilities

Dana, R.-A. - In: Journal of Mathematical Economics 47 (2011) 3, pp. 328-335

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/10010577895

Comonotonicity, Efficient Risk-Sharing and Equilibria in Markets with Short-Selling for Concave Law-Invariant Utilities

Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 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/10010708186