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 ...
We prove the existence of Pareto optimal allocations within sets of acceptable allocations when decision makers have probabilistic sophisticated variational preferences defined on random endowments in L1. ...
In this paper, we establish a one-to-one correspondence between law-invariant convex risk measures on L8 and L1. This proves that the canonical model space for the predominant class of law-invariant convex risk measures is L1. ...
We study monotone convex functions psi : L-0 (Omega, F, P) -> (-infinity, infinity] and derive a dual representation as well as conditions that ensure the existence of a sigma-additive subgradient. The results are motivated by applications in economic agen ...
We study continuity properties of law-invariant (quasi-)convex functions f : L1(Ω,F, P) to ( ∞,∞] over a non-atomic probability space (Ω,F, P) .This is a supplementary note to [12] ...
We investigate the problem of optimal risk sharing between agents endowed with cash-invariant choice functions which are law-invariant with respect to different reference probability measures. We motivate a discrete setting both from an operational and a t ...
We introduce a generalised subgradient for law-invariant closed convex risk measures on L1 and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient ...
