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Short note on inf-convolution preserving the Fatou property

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Author Info
Beatrice Acciaio ()
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File URL: http://hdl.handle.net/10.1007/s10436-008-0107-5
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Publisher Info
Article provided by Springer in its journal Annals of Finance.

Volume (Year): 5 (2009)
Issue (Month): 2 (March)
Pages: 281-287
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Handle: RePEc:kap:annfin:v:5:y:2009:i:2:p:281-287

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Web page: http://www.springerlink.com/link.asp?id=112370

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords: Monetary utility functions; Fatou property; Fenchel–Legendre transform; Convolution; D81;

References listed on IDEAS
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  1. E. Jouini & W. Schachermayer & N. Touzi, 2008. "Optimal Risk Sharing For Law Invariant Monetary Utility Functions," Mathematical Finance, Blackwell Publishing, vol. 18(2), pages 269-292. [Downloadable!] (restricted)
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  2. Beatrice Acciaio, 2007. "Optimal risk sharing with non-monotone monetary functionals," Finance and Stochastics, Springer, vol. 11(2), pages 267-289, April. [Downloadable!] (restricted)
  3. Pauline Barrieu & Nicole El Karoui, 2005. "Inf-convolution of risk measures and optimal risk transfer," Finance and Stochastics, Springer, vol. 9(2), pages 269-298, 04. [Downloadable!] (restricted)
  4. Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447. [Downloadable!] (restricted)
    Other versions:
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This page was last updated on 2009-11-21.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.