Items for "risk-sharing"

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

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...

Keywords: law invariant utility functions, monotonicity and comonotonicity, risk-sharing, constrained dynamic optimization