Optimal risk sharing with non-monotone monetary functionals
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Springer in its journal Finance and Stochastics.
Volume (Year): 11 (2007)
Issue (Month): 2 (April)
Contact details of provider:
Web page: http://www.springerlink.com/content/101164/
Find related papers by JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies
- 91B - - - - - -
- 46N - - - - - -
- 91B - - - - - -
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2004.
"Portfolio Selection with Monotone Mean-Variance Preferences,"
Carlo Alberto Notebooks
6, Collegio Carlo Alberto, revised 2007.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2009. "Portfolio Selection With Monotone Mean-Variance Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 487-521.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2004. "Portfolio Selection with Monotone Mean-Variance Preferences," ICER Working Papers - Applied Mathematics Series 27-2004, ICER - International Centre for Economic Research, revised Dec 2004.
- Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2008. "Portfolio Selection with Monotone Mean-Variance Preferences," Temi di discussione (Economic working papers) 664, Bank of Italy, Economic Research and International Relations Area.
- Massimo Marinacci & Fabio Maccheroni & Aldo Rustichini & Marco Taboga, 2005. "Portfolio Selection with Monotone Mean-Variance Preferences," Finance 0502014, EconWPA.
- Dana, Rose-Anne & Scarsini, Marco, 2007. "Optimal risk sharing with background risk," Journal of Economic Theory, Elsevier, vol. 133(1), pages 152-176, March.
- repec:ner:dauphi:urn:hdl:123456789/342 is not listed on IDEAS
- 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.
- Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Touzi, Nizar & Schachermayer, Walter & Jouini, Elyès, 2006. "Law Invariant Risk Measures Have the Fatou Property," Economics Papers from University Paris Dauphine 123456789/342, Paris Dauphine University.
- Beatrice Acciaio, 2009. "Short note on inf-convolution preserving the Fatou property," Annals of Finance, Springer, vol. 5(2), pages 281-287, March.
- Cheung, Ka Chun & Dhaene, Jan & Rong, Yian & Yam, S.C.P., 2013. "Explicit solutions for a general class of optimal allocation problems," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/388972, Katholieke Universiteit Leuven.
- Damir Filipović & Gregor Svindland, 2008. "Optimal capital and risk allocations for law- and cash-invariant convex functions," Finance and Stochastics, Springer, vol. 12(3), pages 423-439, July.
- Acciaio, Beatrice & Svindland, Gregor, 2009. "Optimal risk sharing with different reference probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 426-433, June.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).
If references are entirely missing, you can add them using this form.