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arXiv · 2603.19414

Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies

Brandon Tam·Mario Ghossoub·Silvana M. Pesenti
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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.

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Brandon Tam, Mario Ghossoub, Silvana M. Pesenti. 2026-03-19. Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies. https://arxiv.org/abs/2603.19414

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