| Article ID: | iaor20132853 |
| Volume: | 157 |
| Issue: | 3 |
| Start Page Number: | 900 |
| End Page Number: | 917 |
| Publication Date: | Jun 2013 |
| Journal: | Journal of Optimization Theory and Applications |
| Authors: | Assa Hirbod, Karai Keivan |
| Keywords: | finance & banking |
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 that 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.