Positive of Bib-Ask Apreads and Asymmetrical Monotone Risk Aversion.

A usual argument in finance refers to no arbitrage opportunities for the positivity of the bid-ask spread. Here we follow the decision theory approach and show that if positivity of the bid-ask spread is identified with strong risk aversion for an expended utility market-marker, this is no longer true for a renk-depended expected utility one.

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Year of publication:	1999
Authors:	Abouda, M. ; Chateauneuf, A.
Institutions:	Centre de recherche de mathématiques et économie mathématique (CERMSEM), Centre d'Économie de la Sorbonne
Subject:	RISK \| DECISION MAKING \| FINANCIAL MARKET

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Series:	Papiers d'Economie Mathématique et Applications.
Type of publication:	Book / Working Paper
Notes:	26 pages
Classification:	D40 - Market Structure and Pricing. General ; D63 - Equity, Justice, Inequality, and Other Normative Criteria and Measurement ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005776551