Dual theory of choice with multivariate risks

• 成果类型: Article
• 署名作者: Galichon, Alfred; Henry, Marc
• 署名单位: Institut Polytechnique de Paris; Ecole Polytechnique; Universite de Montreal
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2011.06.002
• 发表日期: 2012
• 页码: 1501-1516
• 关键词: risk; Rank dependent utility theory; Multivariate comonotonicity; Optimal transportation; Multi-attribute inequality; Gini evaluation functions

摘要

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 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. (c) 2011 Elsevier Inc. All rights reserved.