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Ravanelli, Claudia; Svindland, Gregor (2014). Comonotone Pareto optimal allocations for law invariant robust utilities on L 1. Finance and Stochastics, 18(1):249-269.
We prove the existence of comonotone Pareto optimal allocations satisfying utility constraints when decision makers have probabilistic sophisticated variational preferences and thus representing criteria in the class of law invariant robust utilities. The total endowment is only required to be integrable.
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Physical Sciences > Statistics and Probability
Social Sciences & Humanities > Finance Social Sciences & Humanities > Statistics, Probability and Uncertainty |
| Uncontrolled Keywords: | Statistics, Probability and Uncertainty, Finance, Statistics and Probability |
| Scope: | Discipline-based scholarship (basic research) |
| Language: | English |
| Date: | 1 January 2014 |
| Deposited On: | 27 Feb 2024 11:46 |
| Last Modified: | 27 Feb 2025 02:42 |
| Publisher: | Springer |
| ISSN: | 0949-2984 |
| OA Status: | Green |
| Publisher DOI: | https://doi.org/10.1007/s00780-013-0214-7 |
Ravanelli, Claudia