Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints

被引：31

作者：

Carlier, Guillaume ^{[1
]}

Dana, Rose -Anne ^{[1
]}

机构：

[1] Univ Paris IX Dauphine, CNRS, UMR 7534, CEREMADE, Pl Lattre Tassigny, F-75775 Paris 16, France

来源：

STATISTICS & RISK MODELING | 2006年 / 24卷 / 01期

关键词：

law invariant utility functions; monotonicity and comonotonicity; risk-sharing; constrained dynamic optimization;

D O I：

10.1524/stnd.2006.24.1.127

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper considers a class of one dimensional calculus of variations problems with monotonicity and comonotonicity constraints arising in economic and financial models where law invariant concave criteria (or law invariant convex measures of risk) are used. Existence of solutions, optimality conditions, sufficient conditions for the regularity of solutions are established. Applications to risk sharing with convex comonotone law invariant risk measures or with robust utilities are given.

引用

页码：127 / 152

页数：26

共 29 条

[1]

[Anonymous], 2001, ADV MATH EC

[2] Coherent measures of risk [J].