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20242026
most citedOptimal risk sharing, equilibria, and welfare with empirically realistic risk attitudes

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econ.TH2025

Optimal allocations with distortion risk measures and mixed risk attitudes

Mario Ghossoub, Qinghua Ren, Ruodu Wang

We study Pareto-optimal risk sharing in economies with heterogeneous attitudes toward risk, where agents' preferences are modeled by distortion risk measures. Building on comonoton…