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Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences

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Author Info

  • Claudia RAVANELLI

    (EPFL and Swiss Finance Institute)

  • Gregor SVINDLAND

    (University of Munich)

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    Abstract

    We prove the existence of Pareto optimal allocations within sets of acceptable allocations when decision makers have probabilistic sophisticated variational preferences de ned on random endowments in L1.

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    File URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1884108
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    Bibliographic Info

    Paper provided by Swiss Finance Institute in its series Swiss Finance Institute Research Paper Series with number 11-28.

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    Length: 43 pages
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    Handle: RePEc:chf:rpseri:rp1128

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    Web page: http://www.SwissFinanceInstitute.ch
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    Related research

    Keywords: Pareto optimal allocations; variational preferences; probabilistic sophistication; ambiguity aversion; weighted sup-convolution optimization problems.;

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