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  • Search: subject:"law invariant"
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Year of publication
Subject
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Law Invariant Utilities 4 Constrained Optimization 2 Demand 2 Quantiles 2 canonical plug-in estimates 2 functional central limit theorems 2 law-invariant coherent risk measures 2 weak dependence 2 Law invariant utilities 1 Law-invariant risk measures 1 Pareto efficiency 1 Risikomanagement 1 Second order stochastic dominance 1 Theorie 1 aggregation 1 comonotone risk sharing 1 comonotonicity 1 equi- libria with short-selling 1 representative agent 1
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Online availability
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Free 8
Type of publication
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Book / Working Paper 8
Type of publication (narrower categories)
All
Working Paper 1
Language
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English 5 Undetermined 3
Author
All
Dana, Rose-Anne 6 Carlier, Guillaume 4 Belomestny, Denis 2 Krätschmer, Volker 2 Meilijson, Isaac 1
Institution
All
Université Paris-Dauphine (Paris IX) 3 Université Paris-Dauphine 2 HAL 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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Economics Papers from University Paris Dauphine 3 Open Access publications from Université Paris-Dauphine 2 Post-Print / HAL 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1
Source
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RePEc 7 EconStor 1
Showing 1 - 8 of 8
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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
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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
Saved in:
Cover Image
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
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Central limit theorems for law-invariant coherent risk measures
Belomestny, Denis; Krätschmer, Volker - 2010
In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk …
Persistent link: https://www.econbiz.de/10010281501
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Central limit theorems for law-invariant coherent risk measures
Belomestny, Denis; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
In this paper we study the asymptotic properties of the canonical plug-in estimates for law-invariant coherent risk …
Persistent link: https://www.econbiz.de/10008683520
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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
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Cover Image
Two-Persons Efficient Risk-Sharing and Equilibria for Concave Law-Invariant Utilities.
Dana, Rose-Anne; Carlier, Guillaume - Université Paris-Dauphine - 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/10008543995
Saved in:
Cover Image
Modelling agents’ preferences in complete markets by second order stochastic dominance
Dana, Rose-Anne; Meilijson, Isaac - Université Paris-Dauphine (Paris IX) - 2003
utility indices.SSD is also used to give microfoundations to law-invariant risk measures. …
Persistent link: https://www.econbiz.de/10010708275
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