Pareto efficiency for the concave order and multivariate comonotonicity
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), 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.
|Date of creation:||2012|
|Date of revision:|
|Publication status:||Published in Journal of Economic Theory, 2012, vol. 147, pp.207-229|
|Contact details of provider:|| Web page: http://www.sciencespo.fr/|
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Clotilde Napp & Elyès Jouini, 2003. "Comonotonic Processes," Post-Print halshs-00151478, HAL.
- repec:dau:papers:123456789/6697 is not listed on IDEAS
- G. Carlier & R. Dana, 2008. "Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(2), pages 189-223, August.
- repec:dau:papers:123456789/343 is not listed on IDEAS
- Zephyr, 2010. "The city," City, Taylor & Francis Journals, vol. 14(1-2), pages 154-155, February.
- Atkinson, Anthony B., 1970. "On the measurement of inequality," Journal of Economic Theory, Elsevier, vol. 2(3), pages 244-263, September.
- Elyès Jouini & Walter Schachermayer & Nizar Touzi, 2007.
"Optimal Risk Sharing for Law Invariant Monetary Utility Functions,"
- E. Jouini & W. Schachermayer & N. Touzi, 2008. "Optimal Risk Sharing For Law Invariant Monetary Utility Functions," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 269-292.
- Carlier Guillaume & Dana Rose-Anne, 2006. "Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 26, July.
- Townsend, R.M., 1991.
"Risk and Insurance in Village India,"
University of Chicago - Economics Research Center
91-3, Chicago - Economics Research Center.
- Robert M. Townsend, . "Risk and Insurance in Village India," University of Chicago - Population Research Center 91-3a, Chicago - Population Research Center.
- Puccetti, Giovanni & Scarsini, Marco, 2010.
Journal of Multivariate Analysis,
Elsevier, vol. 101(1), pages 291-304, January.
- Jouini, Elyes & Napp, Clotilde, 2003.
Insurance: Mathematics and Economics,
Elsevier, vol. 32(2), pages 255-265, April.
- Rüschendorf Ludger, 2006. "Law invariant convex risk measures for portfolio vectors," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 12, July.
- repec:dau:papers:123456789/2348 is not listed on IDEAS
- repec:dau:papers:123456789/344 is not listed on IDEAS
- Philip H. Dybvig, 1987.
"Distributional Analysis of Portfolio Choice,"
Cowles Foundation Discussion Papers
827R, Cowles Foundation for Research in Economics, Yale University, revised Jan 1988.
- Elyès Jouini & Clotilde Napp, 2004.
Decisions in Economics and Finance,
Springer;Associazione per la Matematica, vol. 27(2), pages 153-166, December.
- Peleg, Bezalel & Yaari, M E, 1975. "A Price Characterization of Efficient Random Variables," Econometrica, Econometric Society, vol. 43(2), pages 283-92, March.
- Donald J. Brown & Rosa L. Matzkin, 1995.
"Testable Restrictions on the Equilibrium Manifold,"
Cowles Foundation Discussion Papers
1109, Cowles Foundation for Research in Economics, Yale University.
- Dana, R. A., 2004. "Market behavior when preferences are generated by second-order stochastic dominance," Journal of Mathematical Economics, Elsevier, vol. 40(6), pages 619-639, September.
- repec:dau:papers:123456789/5392 is not listed on IDEAS
- Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
- Zilcha, Itzhak & Chew, Soo Hong, 1990. "Invariance of the efficient sets when the expected utility hypothesis is relaxed," Journal of Economic Behavior & Organization, Elsevier, vol. 13(1), pages 125-131, January.
- Ludkovski, Michael & Rüschendorf, Ludger, 2008. "On comonotonicity of Pareto optimal risk sharing," Statistics & Probability Letters, Elsevier, vol. 78(10), pages 1181-1188, August.
- Attanasio, Orazio & Davis, Steven J, 1996.
"Relative Wage Movements and the Distribution of Consumption,"
Journal of Political Economy,
University of Chicago Press, vol. 104(6), pages 1227-62, December.
- Orazio Attanasio & Steven J. Davis, 1994. "Relative Wage Movements and the Distribution of Consumption," NBER Working Papers 4771, National Bureau of Economic Research, Inc.
- repec:dau:papers:123456789/361 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:spo:wpmain:info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Spire @ Sciences Po Library)
If references are entirely missing, you can add them using this form.