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Pareto efficiency for the concave order and multivariate comonotonicity

Listed author(s):
  • Guillaume Carlier

    (CEntre de REcherches en MAthématiques de la DEcision)

  • Rose-Anna Dana

    (CEntre de REcherches en MAthématiques de la DEcision (CEREMADE))

  • Alfred Galichon

    (Department of Economics, Ecole Polytechnique)

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.

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File URL: http://spire.sciencespo.fr/hdl:/2441/5rkqqmvrn4tl22s9mc0p00hch/resources/dana-paper.pdf
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Paper provided by Sciences Po in its series Sciences Po publications with number info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch.

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Date of creation: 2012
Publication status: Published in Journal of Economic Theory, 2012, vol. 147, pp.207-229
Handle: RePEc:spo:wpmain:info:hdl:2441/5rkqqmvrn4tl22s9mc0p00hch
Contact details of provider: Web page: http://www.sciencespo.fr/

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