Dual theory of choice with multivariate risks

DOI10.1016/J.JET.2011.06.002zbMath1260.91058arXiv2102.02578OpenAlexW3022771448MaRDI QIDQ435913

Marc Henry, Alfred Galichon

Publication date: 13 July 2012

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.02578

zbMATH Keywords

local utility functionmultidimensional prospectsmultivariate comonotomicityYaare dual theory

Mathematics Subject Classification ID

Decision theory (91B06) Stochastic models in economics (91B70) Utility theory (91B16)

Related Items (9)

Dynamic conic hedging for competitiveness ⋮ Vector quantile regression beyond the specified case ⋮ Introduction to inequality and risk ⋮ Vector copulas ⋮ Pareto efficiency for the concave order and multivariate comonotonicity ⋮ Local Utility and Multivariate Risk Aversion ⋮ Multidimensional inequalities and generalized quantile functions ⋮ Multivariate comonotonicity ⋮ Extreme dependence for multivariate data

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