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Article
Decomposition properties of dual choice functionals
The Gini coefficient is a well-known measure of inequality, and it satisfies a non-overlap** additive decomposition property (Ebert 1988b). The Gini coefficient is related to the dual theory of choice, as d...
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Article
Correspondence between lifetime minimum wealth and utility of consumption
We establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strategy on a given open interval O i...
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Article
Open AccessOptimal risk sharing under distorted probabilities
We study optimal risk sharing among n agents endowed with distortion risk measures. Our model includes market frictions that can either represent linear transaction costs or risk premia charged by a clearing hous...
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Article
Proving regularity of the minimal probability of ruin via a game of stop** and control
We reveal an interesting convex duality relationship between two problems: (a) minimizing the probability of lifetime ruin when the rate of consumption is stochastic and the individual can invest in a Black–Sc...
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Article
Maximizing expected exponential utility of consumption with a constraint on expected time in poverty
We compute the optimal investment and consumption strategies for an individual who wishes to maximize her expected discounted exponential utility of lifetime consumption, while imposing a constraint on the exp...