Skip to Main content Skip to Navigation
Journal articles

Dual theory of choice under multivariate risks

Abstract : 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 ¯rst order stochastic dominance and satis¯es comonotonic in-dependence 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.
Document type :
Journal articles
Complete list of metadata

Cited literature [22 references]  Display  Hide  Download
Contributor : Spire Sciences Po Institutional Repository Connect in order to contact the contributor
Submitted on : Wednesday, July 16, 2014 - 1:05:26 PM
Last modification on : Tuesday, March 22, 2022 - 3:34:48 AM
Long-term archiving on: : Tuesday, April 11, 2017 - 1:27:19 PM


Explicit agreement for this submission




Alfred Galichon, Marc Henry. Dual theory of choice under multivariate risks. Journal of Economic Theory, Elsevier, 2012, 147 (4), pp.1501-1516. ⟨hal-01024582⟩



Record views


Files downloads