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

We prove the existence of comonotone Pareto optimal allocations when decision makers have probabilistic sophisticated variational preferences and thus representing criteria in the class of law invariant robust utilities. In contrast to previous studies, we show that optimal allocations exist also when decision makers have very different preferences, for example characterized by different domains of the robust utilities, different risk aversions and different beliefs on ambiguity. Moreover, the total endowment is only required to be integrable. JEL Classifications: D81, D86. MSC 2000 Classifications: 91B16, 91B30, 91B32, 91B50.