Componentwise convex-order solidity of the feasible set guarantees feasible comonotonic improvements in constrained risk sharing, while Value-at-Risk caps produce non-comonotonic optima.
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Comonotonic improvement under feasibility constraints
Componentwise convex-order solidity of the feasible set guarantees feasible comonotonic improvements in constrained risk sharing, while Value-at-Risk caps produce non-comonotonic optima.