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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

Type
Article accepté pour publication ou publié
Date
2006
Journal name
Statistics & Decisions
Volume
24
Number
1
Publisher
De Gruyter
Pages
127-152
Publication identifier
http://dx.doi.org/10.1524/stnd.2006.24.1.127
Metadata
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Author(s)
Dana, Rose-Anne
Carlier, Guillaume
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

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