Why do investors keep different opinions even though they learn from their own failures and successes? Why do investors keep different opinions even though they observe each other and learn from their relative failures and successes? We analyze beliefs dynamics when beliefs result from a very...

We consider the problem of valuing European options in a complete market but with incomplete data. Typically, when the underlying asset dynamics is not specified, the martingale probability measure is unknown. Given a consensus on the actual distribution of the underlying price at maturity, we...

We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We...

In this thesis, we propose to test a new behavioral explanation of the equity premium puzzle. This work is based on the heterogeneous beliefs model of Jouini and Napp (2007) according to which, pessimism of investors at the aggregate level leads to very important risk premiums. In this model,...

We consider a model in which any investment opportunity is described in terms of cash flows. We don't assume that there is a numéraire, enabling investors to transfer wealth through time; the time horizon is not supposed to be finite and the investment opportunities are not specifically related...

We consider in this paper two Markovian processes X and Y , solutions of a stochastic differential equation with jumps, that are comonotonic, i.e., that are such that for all t , almost surely, Xt is greater in one state of the world than in another if and only if the same is true for Yt . This...

We study the deterministic optimization problem of a profit-maximizing firm which plans its sales/production schedule. The firm controls both its production and sales rates and knows the revenue associated to a given level of sales, as well as its production and storage costs. The revenue and...

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more...

Our aim is to analyze the link between optimism and risk aversion in a subjective expected utility setting and to estimate the average level of optimism when weighted by risk tolerance. Its estimation leads to a non-trivial statistical problem. We start from a large lottery survey (1536...

Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models ? We show in this paper that there is an important impact of...