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Optimal risk sharing with non-monotone monetary functionals

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Author Info
Beatrice Acciaio ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s00780-007-0036-6
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Publisher Info
Article provided by Springer in its journal Finance and Stochastics.

Volume (Year): 11 (2007)
Issue (Month): 2 (April)
Pages: 267-289
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Handle: RePEc:spr:finsto:v:11:y:2007:i:2:p:267-289

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Web page: http://www.springerlink.com/content/101164/

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Related research
Keywords: Risk measures; Convex duality; Risk sharing; D81; G22; 91B30; 46N10; 91B28;

References listed on IDEAS
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.:

  1. 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. [Downloadable!]
    Other versions:
  2. Dana, Rose-Anne & Scarsini, Marco, 2007. "Optimal risk sharing with background risk," Journal of Economic Theory, Elsevier, vol. 133(1), pages 152-176, March. [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. Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522_v1, HAL. [Downloadable!]
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Cited by:
(explanations, 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.)

  1. Beatrice Acciaio, 2009. "Short note on inf-convolution preserving the Fatou property," Annals of Finance, Springer, vol. 5(2), pages 281-287, March. [Downloadable!] (restricted)
  2. 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. [Downloadable!] (restricted)
Statistics
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