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

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Date
2006
Indexation documentaire
Economie financière
Subject
risk-sharing; constrained dynamic optimization; law invariant utility functions; monotonicity and comonotonicity
Code JEL
C61; D81
Nom de la revue
Statistics & Decisions
Volume
24
Numéro
1
Date de publication
2006
Pages article
127-152
Nom de l'éditeur
De Gruyter
DOI
http://dx.doi.org/10.1524/stnd.2006.24.1.127
URI
https://basepub.dauphine.fr/handle/123456789/5392
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Auteur
Dana, Rose-Anne
Carlier, Guillaume
Type
Article accepté pour publication ou publié
Résumé en anglais
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.