A composition between risk and deviation measures
نویسندگان
چکیده
منابع مشابه
Optimal risk sharing with general deviation measures
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 s...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2018
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-018-2913-0