Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
Dana, Rose-Anne; Carlier, Guillaume (2006), Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints, Statistics & Decisions, 24, 1, p. 127-152. http://dx.doi.org/10.1524/stnd.2006.24.1.127
TypeArticle accepté pour publication ou publié
Journal nameStatistics & Decisions
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Abstract (EN)This paper considers a class of one dimensional calculus of variations problems with monotonicity and comonotonicity constraints arising in economic and financial models where law invariant concave criteria (or law invariant convex measures of risk) are used. Existence solutions, optimality conditions, sufficient conditions for the regularity of solutions are established. Applications to risk sharing with convex comonotone law invariant risk measures or with robust utilities are given.
Subjects / Keywordsrisk-sharing; constrained dynamic optimization; law invariant utility functions; monotonicity and comonotonicity
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