Dual theory of choice under multivariate risks

Alfred Galichon () and Marc Henry
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Alfred Galichon: ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique

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Abstract: We propose a multivariate extension of Yaari's dual theory of choice under risk. We show that a decision maker with a preference relation on multidimensional prospects that preserves ¯rst order stochastic dominance and satis¯es comonotonic in-dependence behaves as if evaluating prospects with a weighted sum of quantiles. Both the notions of quantiles and of comonotonicity are extended to the multivariate framework using optimal transportation maps. Finally risk averse decision makers are characterized, and we show how to efficiently compute the functionals they use to evaluate prospects.

Keywords: Risk; Rank dependent utility theory; Multivariate comonotonicity; Optimal transportation; Multi-attribute inequality; Gini evaluation functions (search for similar items in EconPapers)
Date: 2012-07
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-01024582
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Citations: View citations in EconPapers (6)

Published in Journal of Economic Theory, 2012, 147 (4), pp.1501-1516. ⟨10.1016/j.jet.2011.06.002⟩

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Working Paper: Dual theory of choice under multivariate risks (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:hal-01024582

DOI: 10.1016/j.jet.2011.06.002

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