Hedging, Pareto Optimality, and Good Deals
نویسندگان
چکیده
In this paper we will describe a framework that allows us to connect the problem of hedging a portfolio in finance to the existence of Pareto optimal allocations in economics. We will show the solvability of both problems is equivalent to the No Good Deals assumption. We will then analyze the case of co-monotone additive monetary utility functions and risk measures.
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عنوان ژورنال:
- J. Optimization Theory and Applications
دوره 157 شماره
صفحات -
تاریخ انتشار 2013