Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences

Claudia Ravanelli and Gregor Svindland
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Claudia Ravanelli: EPFL and Swiss Finance Institute
Gregor Svindland: University of Munich

No 11-28, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: We prove the existence of Pareto optimal allocations within sets of acceptable allocations when decision makers have probabilistic sophisticated variational preferences de ned on random endowments in L1.

Keywords: Pareto optimal allocations; variational preferences; probabilistic sophistication; ambiguity aversion; weighted sup-convolution optimization problems. (search for similar items in EconPapers)
JEL-codes: D81 D86 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2011-07
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp1128

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