Let x = (x1 ; x2 ; :::; xn ), assume that x1 x2 ::: xi > 0 > xi+1 ::: xn such

Pn
that i=1 xi > 0: De…ne z = (z1 ; z2 ; :::; zn ) the vector such that is obtained from cancelling
the largest positive element of x with its negative smallest element, in succesive steps, until
there are not negative elements. Let P be the sets of vectors obtained from the partition
of x. Suppose we separate the positive and negative elements of a vector x = x+ + x .
For example vector x = (10; 8; 3) = (10; 8; 0) + (0; 0 3) : We will denote x+
i = xi > 0 and

xi = xi < 0:
We want to …nd the vector y 2 P such that maximizes

v(y+ ) v(z)
f (y) = ;
v(y )

where
v(x) = u(x1 ) + u(x2 ) + ::: + u(xn );

with 8
< x if x 0;
u(x) =
: ( x) if x < 0:

Proposition 1 We claim that

!
X
n
y = x1 ; x2 ; :::; xi ; 0; 0; :::; xt
t=i+1

maximizes f (y) :

Proof. We shall consider all the vectors y such that the sum of their positive elements
P
are equal, that is have the same nt=1 yt+ and then …nd the vector that maximizes f (y) for
those vectors. It is easy to see that this vector will be the one that maximizes v(y + ) and
minimizes v(y ). Suppose we have two vectors a = (a1 ; a2 ; :::; an ) and b = (b1 ; b2 ; :::; bn )
P Pn + Pn Pn
such that the s+ = nt=1 a+
t = t=1 bt and s = t=1 at = t=1 bt : Since u is a concave

function, then v(y + ) is maximized for the vector that majorizes the other according to
P Px +
second order stochastic dominance. Suppose that xt=1 b+t t=1 at for all x 2 [1; n] then

v(a+ ) v (b+ ). For example, if we have b+ = (10; 2) vector a+ = (6; 6) is preferred, because
Pn
v (a+ ) v (b+ ) : Let s = i=1 xi > 0: On the other hand, by the same logic, v(y ) is
P
minimized for the vector y = (0; 0; :::; s s+ ). Therefore, given nt=1 yt+ the best vector
is such that y = a+ +
1 ; a2 ; :::; 0; :::; s s+ . Note that if we have a vector c = (c1 ; c2 ; :::; cn )

1
 Pn +
Pn +
Pn Pn
such that t=1 ct > t=1 at and t=1 ct = t=1 at ; it is obvious, by construction of the
partition, that c+
i a+
i . Therefore, we need to prove that
Pn +
Pn +
Pn +
t=1 u(ct ) v(z) t=1 u(ct ) v(z) t=1 u(at ) v(z)
Pn = Pn + Pn + :
u( t=1 ct ) u(s t=1 ct ) u(s t=1 at )
P
Note that z also depends on nt=1 c+ t . Let me clarify the intuition with following example.

Suppose we have x = (10; 5; 2: 3) then s = 10 and z = (5; 5; 0; 0): I claim that y =

P
(10; 5; 0; 5). Suppose that we …rst consider the vectors of P with nt=1 yt+ = 12, which are
a = (7; 5; 0; 2) and b = (10; 2; 0 2) clearly f (a) > f (b): Now conside the vectors of P
P
such that nt=1 yt+ = 13 which are c = (8; 5; 0; 3) and d = (10; 3; 0 3) clearly f (c) > f (d).
P P
Therefore, for nt=1 yt+ = 12 our best vector is a = (7; 5; 0; 2) and for nt=1 yt+ = 13 which
P
are c = (8; 5; 0; 3). We claim that f (c) > f (a) or in other words as nt=1 yt+ increases we
P
shall reach the optimal vector y = x1 ; x2 ; :::; xi ; 0; 0; :::; nt=i+1 xt .