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

Claudia Ravanelli and Gregor Svindland ()

Finance and Stochastics, 2014, vol. 18, issue 1, 249-269

Abstract: 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. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Comonotone Pareto optimal allocations; Variational preferences; Robust utility; Probabilistic sophistication; Law invariance; Ambiguity aversion; Weighted sup-convolution; 91B16; 91B30; 91B32; 91B50; D81; D86 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (15)

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DOI: 10.1007/s00780-013-0214-7

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