
Pareto efficiency for the concave order and multivariate comonotonicity
Carlier, Guillaume; Dana, Rose-Anne; Galichon, Alfred (2012), Pareto efficiency for the concave order and multivariate comonotonicity, Journal of Economic Theory, 147, 1, p. 207-229. 10.1016/j.jet.2011.11.011
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Article accepté pour publication ou publiéDate
2012Journal name
Journal of Economic TheoryVolume
147Number
1Publisher
Elsevier
Pages
207-229
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Show full item recordAbstract (EN)
This paper studies efficient risk-sharing rules for the concave dominance order. For a univariate risk, it follows from a comonotone dominance principle, due to Landsberger and Meilijson [28], that efficiencyis characterized by a comonotonicity condition. The goal of the paper is to generalize the comonotone dominance principle as well asthe equivalence between efficiency and comonotonicity to the multidimensional case. The multivariate case is more involved (in particularbecause there is no immediate extension of the notion of comonotonicity) and it is addressed by using techniques from convex duality andoptimal transportation.Subjects / Keywords
stochastic dominance; Efficiency; Comonotonicity; Concave order; Stochastic dominance; Multivariate risk-sharingRelated items
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