Short note on inf-convolution preserving the Fatou property
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References listed on IDEAS
- E. Jouini & W. Schachermayer & N. Touzi, 2008.
"Optimal Risk Sharing For Law Invariant Monetary Utility Functions,"
Wiley Blackwell, vol. 18(2), pages 269-292.
- Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2007. "Optimal Risk Sharing for Law Invariant Monetary Utility Functions," Working Papers halshs-00176606, HAL.
- Beatrice Acciaio, 2007. "Optimal risk sharing with non-monotone monetary functionals," Finance and Stochastics, Springer, vol. 11(2), pages 267-289, April.
- 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, April.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2006. "Law Invariant Risk Measures Have the Fatou Property," Post-Print halshs-00176522, HAL.
- repec:dau:papers:123456789/361 is not listed on IDEAS
- repec:dau:papers:123456789/342 is not listed on IDEAS
- Hans Föllmer & Alexander Schied, 2002. "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, vol. 6(4), pages 429-447.
More about this item
KeywordsMonetary utility functions; Fatou property; Fenchel–Legendre transform; Convolution; D81;
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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