Showing 1 - 10 of 18
In this paper we propose a generalization of the comonotonicity notion by introducing and exploring the concept of conditional comonotonicity. We characterize this notion and we show on examples that conditional comonotonicity is the natural extension of the concept of comonotonicity to dynamic...
Persistent link: https://www.econbiz.de/10010708033
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...
Persistent link: https://www.econbiz.de/10010733986
In this thesis we deal with different topics in financial mathematics, that are all related to market imperfections and to the fundamental technique of utility maximization. The work consists of three parts. In the first one, which is based on two papers, we consider the problem of optimal...
Persistent link: https://www.econbiz.de/10010861637
In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We establish that Abel's result on the impact of doubt on the risk premium is not correct in general; see Abel [2002. An exploration of the effects of pessimism and doubt on asset...
Persistent link: https://www.econbiz.de/10010905355
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a smooth, multivariate utility function, allowing for simultaneous consumption of any prescribed selection...
Persistent link: https://www.econbiz.de/10011071836
We revisit the model proposed by Gollier-Müermann (2010). In GM, the set of possible anticipations is assumed to be exogeneously fixed. We rather propose a set of possible anticipations that is endogeneously fixed. This permits to consider lotteries with different supports and to revisit the...
Persistent link: https://www.econbiz.de/10011071969
In this paper, we show that behavioral features can be obtained at a group level when the individuals of the group are heterogeneous enough. More precisely, starting from a standard model of Pareto optimal allocations, with expected utility maximizers and exponential dis- counting, but allowing...
Persistent link: https://www.econbiz.de/10011072719
In this note, we consider an economy with heterogeneous agents, differing by their time preference rate and by their beliefs. We show that at the Pareto optimum, the representative agent exhibits interesting behavioral properties. More precisely, starting from a standard model with expected...
Persistent link: https://www.econbiz.de/10011073446
In this paper, we study the optimal portfolio selection problem of weakly informed traders in the sense of Baudoin \cite{Baudoin_2002}. Instead of considering only expected utility maximizers, we also take into consideration different preference paradigms. In particular, we analyze a...
Persistent link: https://www.econbiz.de/10011073538
We prove a general version of the super-replication theorem, which applies to Kabanov’s model of foreign exchange markets under proportional transaction costs. The market is described by a matrix-valued càdlàg bid-ask process $$(\Pi_t)_{t\in [0,T]}$$ evolving in continuous time. We propose a...
Persistent link: https://www.econbiz.de/10011073697