.png){kind=icon}
.png){kind=icon}
Return
Optimal risk sharing with general deviation measures
.png){kind=icon}
PRE
AI
DOI：10.1007/s10479-010-0834-7.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
An optimal risk sharing problem for agents with utility functionals depending only on the expected value and a deviation measure of an uncertain payoff has been studied. The agents are assumed to have no initial endowments. A set of Pareto-optimal solutions to the problem has been characterized, and a particular solution from the set has been suggested. If an equilibrium exists, the suggested solution coincides with an equilibrium solution. As special cases, the optimal risk sharing problem in the form of expected gain maximization and the problem with a linear mean-deviation utility functional including averse and coherent risk measures have been addressed. In the case of expected gain maximization, the existence of an equilibrium has been shown.
Keywords:
PORTFOLIO ANALYSIS
EQUILIBRIUM
AI Summary
Key information extracted from the uploaded paper, including a brief overview, abstract, background, key highlights, visual analysis, and future outlook.
Journal
IF:
4.5
Papers:
8.0K
Citations:
2.1W