Preprint
Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
ArXiv.org
arXiv
03/19/2026
DOI: 10.48550/arxiv.2603.19414
Abstract
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.
Details
- Title: Subtitle
- Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
- Creators
- Brandon TamMario GhossoubSilvana M Pesenti
- Resource Type
- Preprint
- Publication Details
- ArXiv.org
- DOI
- 10.48550/arxiv.2603.19414
- ISSN
- 2331-8422
- Publisher
- arXiv
- Language
- English
- Date posted
- 03/19/2026
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9985179839402771
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