Pareto efficiency for the concave order and multivariate comonotonicity - Mathematics > Optimization and ControlReportar como inadecuado




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Abstract: In this paper, we focus on efficient risk-sharing rules for the concavedominance order. For a univariate risk, it follows from a comonotone dominanceprinciple, due to Landsberger and Meilijson 25, that efficiency ischaracterized by a comonotonicity condition. The goal of this paper is togeneralize the comonotone dominance principle as well as the equivalencebetween efficiency and comonotonicity to the multi-dimensional case. Themultivariate setting is more involved in particular because there is noimmediate extension of the notion of comonotonicity and we address it usingtechniques from convex duality and optimal transportation.



Autor: Guillaume Carlier, Rose-Anne Dana, Alfred Galichon

Fuente: https://arxiv.org/







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