Comonotone Pareto optimal allocations for law invariant robust utilities on L 1
نویسندگان
چکیده
منابع مشابه
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 domain...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2013
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-013-0214-7