Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
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arXiv
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| Format: | Preprint |
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2026
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| _version_ | 1866912975240036352 |
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| author | Tam, Brandon Ghossoub, Mario Pesenti, Silvana M. |
| author_facet | Tam, Brandon Ghossoub, Mario Pesenti, Silvana M. |
| contents | 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 introduce the notion of dynamic Pareto-optimal allocation processes and show that such processes can be constructed recursively starting with the allocation at the terminal time. We further derive a comonotone improvement theorem for allocation processes, and we provide a recursive approach to constructing comonotone dynamic Pareto optima when the agents' preferences are coherent and satisfy a property that we call equidistribution-preserving. In the special case where each agent's dynamic risk measure is of the distortion type, we provide a closed-form characterization of comonotone dynamic Pareto optima. We illustrate our results in a two-period setting. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2603_19414 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies Tam, Brandon Ghossoub, Mario Pesenti, Silvana M. Risk Management 91B15, 91B30, 91B70, 91G70 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 introduce the notion of dynamic Pareto-optimal allocation processes and show that such processes can be constructed recursively starting with the allocation at the terminal time. We further derive a comonotone improvement theorem for allocation processes, and we provide a recursive approach to constructing comonotone dynamic Pareto optima when the agents' preferences are coherent and satisfy a property that we call equidistribution-preserving. In the special case where each agent's dynamic risk measure is of the distortion type, we provide a closed-form characterization of comonotone dynamic Pareto optima. We illustrate our results in a two-period setting. |
| title | Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies |
| topic | Risk Management 91B15, 91B30, 91B70, 91G70 |
| url | https://arxiv.org/abs/2603.19414 |