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

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Gregor Svindland, Claudia Ravanelli
2014

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.

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https://infoscience.epfl.ch/entities/publication/7b96dcd1-9271-4dd7-b33c-d83e7a1abc0c

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