Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences

43 Pages Posted: 14 Jul 2011 Last revised: 5 Oct 2011

See all articles by Claudia Ravanelli

Claudia Ravanelli

Center for Finance and Insurance

Gregor Svindland

Leibniz Universität Hannover

Date Written: September 2011

Abstract

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

Keywords: Pareto optimal allocations, variational preferences, probabilistic sophis- tication, ambiguity aversion, weighted sup-convolution optimization problems

JEL Classification: D81, D86

Suggested Citation

Ravanelli, Claudia and Svindland, Gregor, Pareto Optimal Allocations for Probabilistic Sophisticated Variational Preferences (September 2011). Swiss Finance Institute Research Paper No. 11-28, Available at SSRN: https://ssrn.com/abstract=1884108 or http://dx.doi.org/10.2139/ssrn.1884108

Claudia Ravanelli (Contact Author)

Center for Finance and Insurance ( email )

Plattenstrasse 14
Zürich, 8032
Switzerland
+41 44 634 29 81 (Phone)

HOME PAGE: http://www.bf.uzh.ch/cms/en/ravanelli.claudia.html

Gregor Svindland

Leibniz Universität Hannover ( email )

Germany

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