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On Pareto optimal allocations for multi-period risks
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Author (s)
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P. Barrieu and G. Scandolo
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Further Information
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Publications and Research Papers| (P.Barrieu staff page)
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Abstract
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In this paper, we consider the problem of Pareto optimal allocations in a general framework, involving preference functionals defined on a general real vector space. The optimization problem is equivalent
to a modified sup-convolution of the different agents' preferences. The results are then applied to a multi-period setting and some further characterization of Pareto optimal allocations is obtained for expected utility for processes.
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Contact
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Tom Hewlett (Administrative Assistant) Ext. 6879
Department of Statistics, Columbia House
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