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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
    Contact details of provider: Web page: http://www.springerlink.com/content/101164/

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    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.:

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    1. Napp, Clotilde & Jouini, Elyès, 2003. "Comonotonic Processes," Economics Papers from University Paris Dauphine 123456789/343, Paris Dauphine University.
    2. Carlier, Guillaume & Dana, Rose-Anne, 2003. "Core of convex distortions of a probability," Economics Papers from University Paris Dauphine 123456789/5446, Paris Dauphine University.
    3. Clotilde Napp & Elyès Jouini, 2005. "Conditional Comonotonicity," Post-Print halshs-00151516, HAL.
    4. Philip H. Dybvig, 1987. "Distributional Analysis of Portfolio Choice," Cowles Foundation Discussion Papers 827R, Cowles Foundation for Research in Economics, Yale University, revised Jan 1988.
    5. Jouini, Elyes & Napp, Clotilde, 2003. "Comonotonic processes," Insurance: Mathematics and Economics, Elsevier, vol. 32(2), pages 255-265, April.
    6. 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.
    7. Carlier, Guillaume & Dana, Rose-Anne, 2005. "Rearrangement inequalities in non-convex insurance models," Economics Papers from University Paris Dauphine 123456789/5389, Paris Dauphine University.
    8. Elyès Jouini & Vincent Porte, 2007. "Efficient Trading Strategies," Working Papers halshs-00176616, HAL.
    9. Napp, Clotilde & Jouini, Elyès, 2004. "Conditional Comonotonicity," Economics Papers from University Paris Dauphine 123456789/344, Paris Dauphine University.
    10. Elyes Jouini & Pierre-Francois Koehl, . "Pricing of Non-redundant Derivatives in a Complete Market," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-009, New York University, Leonard N. Stern School of Business-.
    11. Kallal, Hedi & Jouini, Elyès, 2001. "Efficient Trading Strategies in the Presence of Market Frictions," Economics Papers from University Paris Dauphine 123456789/4721, Paris Dauphine University.
    12. Elyès Jouini & Hédi Kallal, 1999. "Efficient Trading Strategies in the Presence of Market Frictions," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-035, New York University, Leonard N. Stern School of Business-.
    13. Elyès Jouini & Clotilde Napp, 2003. "Comonotonic Processes," Post-Print halshs-00167158, HAL.
    14. Mark J Machina, 1982. ""Expected Utility" Analysis without the Independence Axiom," Levine's Working Paper Archive 7650, David K. Levine.
    15. repec:hal:journl:halshs-00167151 is not listed on IDEAS
    16. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
    17. 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.
    18. Elyès Jouini & Clotilde Napp, 2004. "Conditional comonotonicity," Decisions in Economics and Finance, Springer, vol. 27(2), pages 153-166, December.
    19. repec:cup:cbooks:9780521586054 is not listed on IDEAS
    20. 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.
    21. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
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