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Dual Theory of Choice Under Multivariate Risks (travail en collaboration avec Marc Henry)| old_uid | 6005 |
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| title | Dual Theory of Choice Under Multivariate Risks (travail en collaboration avec Marc Henry) |
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| start_date | 2009/01/16 |
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| schedule | 16h15 |
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| online | no |
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| summary | 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 with 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, and we show how to efficiently compute the functionals they use to evaluate prospects.Should we believe the Shanghai ranking? |
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| responsibles | Hill, Placido, Cozic |
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