Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints

Dana, Rose-Anne; Carlier, Guillaume

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

Type

Article accepté pour publication ou publié

Date

2006

Journal name

Statistics & Decisions

Volume

Number

Publisher

De Gruyter

Pages

127-152

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 / Keywords

risk-sharing; constrained dynamic optimization; law invariant utility functions; monotonicity and comonotonicity

JEL

C61 - Optimization Techniques; Programming Models; Dynamic Analysis
D81 - Criteria for Decision-Making under Risk and Uncertainty