Seminar

Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences on L1

Claudia Ravanelli (Ecole Polytechnique fédérale de Lausanne)

March 30, 2012, 13:45–15:00

Toulouse

Room MF 323

Decision Mathematics Seminar

Abstract

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.

Keywords

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

JEL codes

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