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Co-monotonicity of optimal investments and the design of structured financial products

  • Marc Rieger

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    File URL: http://hdl.handle.net/10.1007/s00780-009-0117-9
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    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 15 (2011)
    Issue (Month): 1 (January)
    Pages: 27-55

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    Handle: RePEc:spr:finsto:v:15:y:2011:i:1:p:27-55
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    Order Information: Web: http://www.springer.com/mathematics/quantitative+finance/journal/780/PS2

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    1. Philip H. Dybvig, 1987. "Inefficient Dynamic Portfolio Strategies or How to Throw Away a Million Dollars in the Stock Market," Cowles Foundation Discussion Papers 826R, Cowles Foundation for Research in Economics, Yale University, revised Jan 1988.
    2. repec:dau:papers:123456789/344 is not listed on IDEAS
    3. Elyès Jouini & Vincent Porte, 2007. "Efficient Trading Strategies," Working Papers halshs-00176616, HAL.
    4. Dybvig, Philip H, 1988. "Distributional Analysis of Portfolio Choice," The Journal of Business, University of Chicago Press, vol. 61(3), pages 369-93, July.
    5. Jouini, Elyes & Kallal, Hedi, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," Review of Financial Studies, Society for Financial Studies, vol. 14(2), pages 343-69.
    6. repec:dau:papers:123456789/343 is not listed on IDEAS
    7. 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.
    8. Machina, Mark J, 1982. ""Expected Utility" Analysis without the Independence Axiom," Econometrica, Econometric Society, vol. 50(2), pages 277-323, March.
    9. repec:dau:papers:123456789/5389 is not listed on IDEAS
    10. Dhaene, J. & Denuit, M. & Goovaerts, M. J. & Kaas, R. & Vyncke, D., 2002. "The concept of comonotonicity in actuarial science and finance: theory," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 3-33, August.
    11. Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-91, March.
    12. repec:dau:papers:123456789/4721 is not listed on IDEAS
    13. Elyès Jouini & Koehl Pierre-François & Abdelhamid Bizid, 1998. "Pricing of Non-redundant Derivatives in a Complete Market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00167151, HAL.
    14. Clotilde Napp & Elyès Jouini, 2005. "Conditional Comonotonicity," Post-Print halshs-00151516, HAL.
    15. repec:hal:journl:halshs-00167151 is not listed on IDEAS
    16. 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.
    17. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    18. Elyès Jouini & Clotilde Napp, 2003. "Comonotonic Processes," Post-Print halshs-00167158, HAL.
    19. repec:dau:papers:123456789/5446 is not listed on IDEAS
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