Search Results - subject:"monetary utility functions"

Monetary utility functions and risk functionals

Floros, Christos; Gillas, Konstantinos Gkillas; … - In: Essays on Financial Analytics : Applications and Methods, (pp. 27-35). 2023

Persistent link: https://www.econbiz.de/10014338785

Optimal Risk Sharing for Law Invariant Monetary Utility Functions

Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar - HAL - 2007

law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an …

Persistent link: https://www.econbiz.de/10008793978

Short note on inf-convolution preserving the Fatou property

Acciaio, Beatrice - In: Annals of Finance 5 (2009) 2, pp. 281-287

Persistent link: https://www.econbiz.de/10005701374

Optimal Risk Sharing for Law Invariant Monetary Utility Functions

Jouini, Elyès; Schachermayer, Walter; Touzi, Nizar - Université Paris-Dauphine (Paris IX) - 2008

law-invariant monetary utility functions or equivalently, law-invariant risk measures. We first prove existence of an …

Persistent link: https://www.econbiz.de/10010905090

EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS

FILIPOVIĆ, DAMIR; KUPPER, MICHAEL - In: International Journal of Theoretical and Applied … 11 (2008) 03, pp. 325-343

utility functions under convex consumption constraints. These utility functions are characterized by the assumption of a fully …This paper provides sufficient and necessary conditions for the existence of equilibrium pricing rules for monetary …

Persistent link: https://www.econbiz.de/10005080451