Comonotone Pareto Optimal Allocations for Law Invariant
نویسندگان
چکیده
In this paper we prove the existence of Pareto optimal allocations of integrable random endowments when decision makers have probabilistic sophisticated variational preferences. Variational preferences were introduced and axiomatically characterized by Maccheroni, Marinacci, and Rustichini (2006). This broad class of preferences allows to model ambiguity aversion and includes several subclasses of preferences that have been extensively studied in the economic literature. In mathematical finance, variational preferences are known as robust utilities; see Föllmer, Schied, ∗The author gratefully acknowledges financial support of the NCCR-FinRisk (Swiss National Science Foundation).
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تاریخ انتشار 2013