Séminaire

Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences on L1

Claudia Ravanelli (Ecole Polytechnique fédérale de Lausanne)

30 mars 2012, 13h45–15h00

Toulouse

Salle MF 323

Decision Mathematics Seminar

Résumé

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

Mots-clés

Pareto optimal allocations; variational preferences; probabilistic sophistication; ambiguity aversion; weighted sup-convolution;

Codes JEL

  • D81: Criteria for Decision-Making under Risk and Uncertainty
  • D86: Economics of Contract: Theory

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