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q-fin.RM2021★ 1 cited
Risk sharing under heterogeneous beliefs without convexity
Felix-Benedikt Liebrich
We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to age…
q-fin.MF2021
Law-invariant functionals that collapse to the mean: Beyond convexity
Felix-Benedikt Liebrich, Cosimo Munari
We establish general "collapse to the mean" principles that provide conditions under which a law-invariant functional reduces to an expectation. In the convex setting, we retrieve…