Abstract We introduce a generalised subgradient for law-invariant closed convex risk measures on L 1 and establish its relationship with optimal risk allocations and equilibria. Our main result gives sufficient conditions ensuring a non-empty generalised subgradient.

A theory of individual decision and a general equilibrium theory in complete markets are provided, for the case of infinite state space when incomplete preferences are modelled by second order stochastic dominance (SSD). While, unlike the situation in the finite state space case, the demand of a...