Dual theory of choice with multivariate risks (Q435913)

From the conclusion: ``\dots decision makers that are sensitive to hedging of comonotonic risks are shown to evaluate prospects using a weighted sum of quantiles. Risk averse decision makers were shown to be characterized within this framework by a reference distribution, making the dual theory as readily applicable as expected utility.'' The authors also discuss other multivariate notions of comontonicity, especially a generalization by Schmeidler. The generalizations of Schmeidler and of the authors are equivalent for dimension 1; in higher dimensions, neither of these two concepts implies the other.