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
TypeArticle accepté pour publication ou publié
Journal nameJournal of Economic Theory
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Abstract (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 , 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 / Keywordsstochastic dominance; Efficiency; Comonotonicity; Concave order; Stochastic dominance; Multivariate risk-sharing
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Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints Dana, Rose-Anne; Carlier, Guillaume (2006) Article accepté pour publication ou publié