OPTIMAL DEMAND FOR CONTINGENT CLAIMS WHEN AGENTS HAVE LAW INVARIANT UTILITIES

By Guillaume Carlier, R. Dana. 2010

87 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/cc31dc78dcd94b2b0d5e6c591107a11c9281a5fd

Citations in the corpus

• ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES (2016, unknown): “6Carlier and Dana (2006, 2011) applied calculus of variations to characterize the optimal quantile function; however, these authors did not find the explicit solution, which is crucial in deriving the state-price density.”
• ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS (2015, unknown): “Mathematical treatments rarely went beyond simple, one-step models (we only know of Berkelaar et al. [2004], Jin and Zhou [2008] and Carlier and Dana [2011] where multiperiod models are studied; in Berkelaar et al. [2004], however, no probability distortion is considered).”