Dual theory of choice with multivariate risks

• Tác giả: Alfred Galichon, Marc Henry
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.56 Decision theory
• Thông tin xuất bản: 2021
• Bộ sưu tập: Metadata
• ID: 166153

Tóm tắt

Comment: 22 pagesWe 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 using 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.