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Guillaume Carlier, Rose-Anna Dana
Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
Keywords: law invariant utility functions, monotonicity and comonotonicity, risk-sharing, constrained dynamic optimization
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.
Statistics & Decisions, Oldenbourg Wissenschaftsverlag
Print ISSN: 0721-2631
Volume: 24, 01/2006
Pages: 127 - 152