Related papers: Pareto efficiency for the concave order and multiv…

We study Pareto efficiency in a pure-exchange economy where agents' preferences are represented by risk-averse monetary utilities. These coincide with law-invariant monetary utilities, and they can be shown to correspond to the class of…

Regulatory and contractual constraints on individual exposures are standard in insurance and reinsurance markets, but a poorly designed constraint can distort the economic incentives of risk-averse agents. In the unconstrained problem, the…

We consider the problem of finding Pareto-optimal allocations of risk among finitely many agents. The associated individual risk measures are law invariant, but with respect to agent-dependent and potentially heterogeneous reference…

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…

We propose a multivariate extension of a well-known characterization by S. Kusuoka of regular and coherent risk measures as maximal correlation functionals. This involves an extension of the notion of comonotonicity to random vectors…

The classical notion of comonotonicity has played a pivotal role when solving diverse problems in economics, finance, and insurance. In various practical problems, however, this notion of extreme positive dependence structure is overly…

We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonotonic and counter-monotonic improvement results, we show that…

We address the problem of sharing risk among agents with preferences modelled by a general class of comonotonic additive and law-based functionals that need not be either monotone or convex. Such functionals are called distortion…

We consider object allocation problems with capacities (see, e.g., Abdulkadiroglu and Sonmez, 1998; Basteck, 2025) where objects have to be assigned to agents. We show that if a lottery rule satisfies ex-post non-wastefulness and…

We study a problem of optimal allocation in a discrete-time multi-period pure-exchange economy, where agents have preferences over stochastic endowment processes that are represented by strongly time-consistent dynamic risk measures. We…

We provide a new characterization of second-order stochastic dominance, also known as increasing concave order. The result has an intuitive interpretation that adding a risk with negative expected value in adverse scenarios makes the…

This paper provides conditions on the observation probability distribution in Bayesian localization and optimal filtering so that the conditional mean estimate satisfies convex stochastic dominance. Convex dominance allows us to compare the…

This paper connects discrete optimal transport to a certain class of multi-objective optimization problems. In both settings, the decision variables can be organized into a matrix. In the multi-objective problem, the notion of Pareto…

Monotonicity and nonmonotonicity play a key role in studying the global convergence and the efficiency of iterative schemes employed in the field of nonlinear optimization, where globally convergent and computationally efficient schemes are…

We provide necessary and sufficient conditions for robust efficiency (in the sense of Ehrgott et al. (2014)) to multiobjective optimization problems that depend on uncertain parameters. These conditions state that a solution is robust…

We study risk sharing among agents with preferences modeled by heterogeneous distortion risk measures, who are not necessarily risk averse. Pareto optimality for agents using risk measures is often studied through the lens of…

We are interested in risk constraints for infinite horizon discrete time Markov decision processes (MDPs). Starting with average reward MDPs, we show that increasing concave stochastic dominance constraints on the empirical distribution of…

We introduce and study a notion of directional Pareto minimality with respect to a set that generalizes the classical concept of Pareto efficiency. Then we give separate necessary and sufficient conditions for the newly introduced…

Stochastic dominance is an important concept in probability theory, econometrics and social choice theory for robustly modeling agents' preferences between random outcomes. While many works have been dedicated to the univariate case, little…

It is well known that a random vector with given marginal distributions is comonotonic if and only if it has the largest sum with respect to the convex order [ Kaas, Dhaene, Vyncke, Goovaerts, Denuit (2002), A simple geometric proof that…