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https://ssrn.com/abstract=1126483
 
 

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Dual Theory of Choice Under Multivariate Risks


Alfred Galichon


NYU, Department of Economics and Courant Institute

Marc Henry


Pennsylvania State University

February 23, 2010

Journal of Economic Theory, Forthcoming

Abstract:     
We propose a multivariate extension of Yaari's dual theory of choice under risk. We show that a decision maker with a preference relation on multidimensional prospects that preserves first order stochastic dominance and satisfies comonotonic independence behaves as if evaluating prospects with a weighted sum of quantiles. Both the notions of quantiles and of comonotonicity are extended to the multivariate framework using optimal transportation maps. Finally, risk averse decision makers are characterized within this framework and their local utility functions are derived. Applications to the measurement of multi-attribute inequality are also discussed.

Number of Pages in PDF File: 22

Keywords: risk, non-expected utility theory, comonotonicity, optimal transportation

JEL Classification: D81, C61


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Date posted: April 29, 2008 ; Last revised: October 7, 2011

Suggested Citation

Galichon, Alfred and Henry, Marc, Dual Theory of Choice Under Multivariate Risks (February 23, 2010). Journal of Economic Theory, Forthcoming. Available at SSRN: https://ssrn.com/abstract=1126483

Contact Information

Alfred Galichon (Contact Author)
NYU, Department of Economics and Courant Institute ( email )
269 Mercer Street, 7th Floor
New York, NY 10011
United States
Marc Henry
Pennsylvania State University ( email )
University Park
State College, PA 16802
United States
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