Comonotone Pareto optimal allocations for law invariant robust utilities on L <Superscript>1</Superscript>

We prove the existence of comonotone Pareto optimal allocations satisfying utility constraints when decision makers have probabilistic sophisticated variational preferences and thus representing criteria in the class of law invariant robust utilities. The total endowment is only required to be integrable. Copyright Springer-Verlag Berlin Heidelberg 2014

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Year of publication:	2014
Authors:	Ravanelli, Claudia ; Svindland, Gregor
Published in:	Finance and Stochastics. - Springer. - Vol. 18.2014, 1, p. 249-269
Publisher:	Springer
Subject:	Comonotone Pareto optimal allocations \| Variational preferences \| Robust utility \| Probabilistic sophistication \| Law invariance \| Ambiguity aversion \| Weighted sup-convolution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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