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 publiéDate
2006Journal name
Statistics & DecisionsVolume
24Number
1Publisher
De Gruyter
Pages
127-152
Publication identifier
Metadata
Show full item recordAbstract (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 comonotonicityRelated items
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