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research article

Comonotone Pareto optimal allocations for law invariant robust utilities on L-1

Ravanelli, Claudia
•
Svindland, Gregor
2014
Finance And Stochastics

We prove the existence of comonotone Pareto optimal allocations satisfying utility constraints when decision makers have probabilistic sophisticated variational preferences and thus representing criteria in the class of law invariant robust utilities. The total endowment is only required to be integrable.

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