Optimal Demand for Contingent Claims when Agents have law Invariant Utilities
Carlier, Guillaume; Dana, Rose-Anne (2011), Optimal Demand for Contingent Claims when Agents have law Invariant Utilities, Mathematical Finance, 21, 2, p. 169-201. http://dx.doi.org/10.1111/j.1467-9965.2010.00431.x
TypeArticle accepté pour publication ou publié
Journal nameMathematical Finance
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Abstract (EN)We consider a class of law invariant utilities which contains the RankDependent Expected Utility (RDU) and the cumulative prospect theory(CPT). We show that the computation of demand for a contingent claimwhen utilities are within that class, although not as simple as in theExpected Utility (EU) case, is still tractable. Speciﬁc attention is givento the RDU and to the CPT cases. Numerous examples are fully solved.
Subjects / KeywordsConstrained Optimization; Demand; Law Invariant Utilities; Quantiles
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Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints Dana, Rose-Anne; Carlier, Guillaume (2006) Article accepté pour publication ou publié