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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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Type
Article accepté pour publication ou publié
Date
2012
Journal name
Journal of Economic Theory
Volume
147
Number
1
Publisher
Elsevier
Pages
207-229
Publication identifier
10.1016/j.jet.2011.11.011
Metadata
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Author(s)
Carlier, Guillaume
Dana, Rose-Anne
Galichon, Alfred
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 [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-sharing
JEL
D81 - Criteria for Decision-Making under Risk and Uncertainty
D61 - Allocative Efficiency; Cost–Benefit Analysis
C61 - Optimization Techniques; Programming Models; Dynamic Analysis

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