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

By Guillaume Carlier, Rose-Anne Dana. 2006

48 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9e639f6767e62c002b81c7a6de3bd6cf6440a27c

How researchers see this paper

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In Economics and Econometrics

1. Xun Yu Zhou
2. Xue Dong He
3. Huyen Pham
4. Elena Vigna
5. Zuo Quan Xu
6. Peter A. Forsyth
7. Catherine Donnelly

In Finance

1. Xun Yu Zhou
2. Xue Dong He
3. Elena Vigna
4. Peter A. Forsyth
5. Nicholas Barberis
6. F. Menoncin
7. Huyen Pham
8. Zuo Quan Xu

In Management Science and Operations Research

1. Xue Dong He
2. Xun Yu Zhou
3. Elena Vigna
4. Peter A. Forsyth
5. Nicholas Barberis
6. F. Menoncin
7. Huyen Pham
8. Xiang Lin

Citations in the corpus

• PORTFOLIO CHOICE VIA QUANTILES (2010, background): “In Carlier and Dana (2006), a more general class of quantilebased calculus of variations problems with law-invariant concave criteria are formulated, and the issues of existence of solutions, necessary conditions for optimality, and sufficient conditions for the regularity of solutions are…”