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

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.


Published in:
Finance And Stochastics, 18, 1, 249-269
Year:
2014
Publisher:
Heidelberg, Springer Verlag
ISSN:
0949-2984
Keywords:
Laboratories:




 Record created 2014-05-02, last modified 2018-03-17

n/a:
Download fulltext
PDF

Rate this document:

Rate this document:
1
2
3
 
(Not yet reviewed)