IDEAS home Printed from https://ideas.repec.org/a/bla/mathfi/v15y2005i4p613-634.html
   My bibliography  Save this article

A Representation Result For Concave Schur Concave Functions

Author

Listed:
  • Rose-Anne Dana

Abstract

No abstract is available for this item.

Suggested Citation

  • Rose-Anne Dana, 2005. "A Representation Result For Concave Schur Concave Functions," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 613-634.
  • Handle: RePEc:bla:mathfi:v:15:y:2005:i:4:p:613-634
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2005.00253.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Frittelli, Marco & Rosazza Gianin, Emanuela, 2002. "Putting order in risk measures," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1473-1486, July.
    2. Zilcha, Itzhak & Chew, Soo Hong, 1990. "Invariance of the efficient sets when the expected utility hypothesis is relaxed," Journal of Economic Behavior & Organization, Elsevier, vol. 13(1), pages 125-131, January.
    3. Dana, R. A., 2004. "Market behavior when preferences are generated by second-order stochastic dominance," Journal of Mathematical Economics, Elsevier, vol. 40(6), pages 619-639, September.
    4. Chew, S H & Epstein, Larry G & Segal, U, 1991. "Mixture Symmetry and Quadratic Utility," Econometrica, Econometric Society, vol. 59(1), pages 139-163, January.
    5. repec:dau:papers:123456789/6105 is not listed on IDEAS
    6. Dybvig, Philip H, 1988. "Distributional Analysis of Portfolio Choice," The Journal of Business, University of Chicago Press, vol. 61(3), pages 369-393, July.
    7. Peleg, Bezalel & Yaari, M E, 1975. "A Price Characterization of Efficient Random Variables," Econometrica, Econometric Society, vol. 43(2), pages 283-292, March.
    8. Guillaume Carlier & Rose-Anne Dana, 2003. "Pareto efficient insurance contracts when the insurer's cost function is discontinuous," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 21(4), pages 871-893, June.
    9. Johannes Leitner, 2005. "A Short Note On Second-Order Stochastic Dominance Preserving Coherent Risk Measures," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 649-651.
    10. Alexander Schied, 2004. "On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals," Papers math/0407127, arXiv.org.
    11. repec:dau:papers:123456789/6697 is not listed on IDEAS
    12. Dybvig, Philip H & Ross, Stephen A, 1982. "Portfolio Efficient Sets," Econometrica, Econometric Society, vol. 50(6), pages 1525-1546, November.
    13. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    14. repec:dau:papers:123456789/5446 is not listed on IDEAS
    15. Chongmin Kim, 1998. "Stochastic Dominance, Pareto Optimality, and Equilibrium Asset Pricing," Review of Economic Studies, Oxford University Press, vol. 65(2), pages 341-356.
    16. Carlier, G. & Dana, R.-A., 2005. "Rearrangement inequalities in non-convex insurance models," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 483-503, August.
    17. Atkinson, Anthony B., 1970. "On the measurement of inequality," Journal of Economic Theory, Elsevier, vol. 2(3), pages 244-263, September.
    18. repec:dau:papers:123456789/5394 is not listed on IDEAS
    19. repec:dau:papers:123456789/5389 is not listed on IDEAS
    20. Carlier, G. & Dana, R. A., 2003. "Core of convex distortions of a probability," Journal of Economic Theory, Elsevier, vol. 113(2), pages 199-222, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Grechuk, Bogdan & Zabarankin, Michael, 2016. "Inverse portfolio problem with coherent risk measures," European Journal of Operational Research, Elsevier, vol. 249(2), pages 740-750.
    2. M. Kaina & L. Rüschendorf, 2009. "On convex risk measures on L p -spaces," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 475-495, July.
    3. Pflug Georg Ch., 2006. "On distortion functionals," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-16, July.
    4. Berkhouch, Mohammed & Lakhnati, Ghizlane, 2017. "Extended Gini-type measures of risk and variability," MPRA Paper 80329, University Library of Munich, Germany.
    5. 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.
    6. repec:eee:jbfina:v:83:y:2017:i:c:p:70-84 is not listed on IDEAS
    7. Mohammed Berkhouch & Ghizlane Lakhnati & Marcelo Brutti Righi, 2017. "Extended Gini-type measures of risk and variability," Papers 1707.07322, arXiv.org, revised Mar 2018.
    8. Ghossoub, Mario, 2015. "Vigilant measures of risk and the demand for contingent claims," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 27-35.
    9. Grigorova Miryana, 2014. "Stochastic dominance with respect to a capacity and risk measures," Statistics & Risk Modeling, De Gruyter, vol. 31(3-4), pages 1-37, December.
    10. Rüschendorf Ludger, 2006. "Law invariant convex risk measures for portfolio vectors," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-12, July.
    11. Grigorova Miryana, 2014. "Stochastic orderings with respect to a capacity and an application to a financial optimization problem," Statistics & Risk Modeling, De Gruyter, vol. 31(2), pages 1-31, June.
    12. Grechuk, Bogdan, 2015. "The center of a convex set and capital allocation," European Journal of Operational Research, Elsevier, vol. 243(2), pages 628-636.
    13. Roger J. A. Laeven & Mitja Stadje, 2013. "Entropy Coherent and Entropy Convex Measures of Risk," Mathematics of Operations Research, INFORMS, vol. 38(2), pages 265-293, May.
    14. Pichler, Alois & Shapiro, Alexander, 2015. "Minimal representation of insurance prices," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 184-193.
    15. repec:spr:annopr:v:249:y:2017:i:1:d:10.1007_s10479-015-1801-0 is not listed on IDEAS
    16. Knispel, Thomas & Laeven, Roger J.A. & Svindland, Gregor, 2016. "Robust optimal risk sharing and risk premia in expanding pools," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 182-195.
    17. Acciaio Beatrice & Svindland Gregor, 2013. "Are law-invariant risk functions concave on distributions?," Dependence Modeling, De Gruyter Open, vol. 1, pages 54-64, December.
    18. Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini, 2006. "Ambiguity Aversion, Robustness, and the Variational Representation of Preferences," Econometrica, Econometric Society, vol. 74(6), pages 1447-1498, November.
    19. Svindland Gregor, 2009. "Subgradients of law-invariant convex risk measures on L," Statistics & Risk Modeling, De Gruyter, vol. 27(2), pages 169-199, December.
    20. repec:spr:compst:v:69:y:2009:i:3:p:475-495 is not listed on IDEAS
    21. Borglin, Anders & Flåm, Sjur, 2007. "Rationalizing Constrained Contingent Claims," Working Papers 2007:12, Lund University, Department of Economics.
    22. Burgert Christian & Rüschendorf Ludger, 2006. "On the optimal risk allocation problem," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-19, July.
    23. Carlier Guillaume & Dana Rose-Anne, 2006. "Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-26, July.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:15:y:2005:i:4:p:613-634. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.