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Pareto efficiency for the concave order and multivariate comonotonicity

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  • Carlier, G.
  • Dana, R.-A.
  • Galichon, A.

Abstract

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 (1994) [27], that efficiency is characterized by a comonotonicity condition. The goal of the paper is to generalize the comonotone dominance principle as well as the equivalence between efficiency and comonotonicity to the multidimensional case. The multivariate case is more involved (in particular because there is no immediate extension of the notion of comonotonicity), and it is addressed by using techniques from convex duality and optimal transportation.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 147 (2012)
Issue (Month): 1 ()
Pages: 207-229

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Handle: RePEc:eee:jetheo:v:147:y:2012:i:1:p:207-229

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Web page: http://www.elsevier.com/locate/inca/622869

Related research

Keywords: Concave order; Stochastic dominance; Comonotonicity; Efficiency; Multivariate risk-sharing;

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Citations

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Cited by:
  1. Alain Chateauneuf & Mina Mostoufi & David Vyncke, 2014. "Multivariate risk sharing and the derivation of individually rational Pareto optima," Working Papers 2014-074, Department of Research, Ipag Business School.
  2. Didrik Flåm, Sjur, 2012. "Coupled projects, core imputations, and the CAPM," Journal of Mathematical Economics, Elsevier, vol. 48(3), pages 170-176.
  3. Carlier, G. & Dana, R.-A., 2013. "Pareto optima and equilibria when preferences are incompletely known," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1606-1623.
  4. Ghossoub, Mario, 2011. "Monotone equimeasurable rearrangements with non-additive probabilities," MPRA Paper 37629, University Library of Munich, Germany, revised 23 Mar 2012.
  5. G. Carlier & R.-A. Dana, 2014. "Pareto optima and equilibria when preferences are incompletely known," Working Papers 2014-060, Department of Research, Ipag Business School.
  6. M. Aloqeili & G. Carlier & I. Ekeland, 2014. "Restrictions and identification in a multidimensional risk-sharing problem," Economic Theory, Springer, vol. 56(2), pages 409-423, June.

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