多元风险的对偶选择理论
Dual theory of choice with multivariate risks
摘要：
我们提出了一个多变量的扩展Yaari的对偶理论的风险下的选择。我们表明，决策者的多维前景，保持一阶随机优势，并满足共单调的独立性的偏好关系的行为，如果使用分位数的加权和评估前景。分位数和共单调性的概念都扩展到多变量框架使用最优运输映射。最后，在此框架内，风险厌恶决策者的特点和他们的局部效用函数。并讨论了它在多属性不等式度量中的应用。
英文摘要：
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.
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