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The Whys of the LOIS: Credit Skew and Funding Spread Volatility.
Crépey, Stéphane; Douady, Raphaël - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014
liquidity risk. However in the literature the meaning of liquidity is either not precisely stated, or it is simply defined as a … Libor panelist (playing the role of the “borrower” in an interbank loan) and a liquidity component corresponding to a … notion of liquidity appears as the optionality, valued by the aforementioned volatility, of dynamically adjusting through …
Persistent link: https://www.econbiz.de/10011123706
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Time, bifurcations and economic applications.
Bosi, Stefano; Ragot, Lionel - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
In this paper, we apply first and higher-order Euler discretizations to compare dynamic systems in discrete and continuous time. In addition, we stress the difference between backward and forward-looking approximations. Focussing on local bifurcations, we find that time representation is neutral...
Persistent link: https://www.econbiz.de/10005051732
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The Limit-price dynamics - uniqueness, computability and comparative dynamics in competitive markets.
Giraud, Gaël - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2007
In this paper, a continuous-time price-quantity trading process is defined for exchange economies with differentiable characteristics. The dynamics is based on boundedly rational agents exchanging limit-price orders to a central clearing house, which rations infinitesimal trades according to...
Persistent link: https://www.econbiz.de/10005510610
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A Unified Approach to Equilibrium Existence in Discontinuous Strategic Games.
Bich, Philippe; Laraki, Rida - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
Several relaxations of Nash equilibrium are shown to exist in strategic games with discontinuous payoff functions. Those relaxations are used to extend and unify several recent results and link Reny's better-reply security condition [Reny, P.J. (1999). On the existence of Pure and Mixed Strategy...
Persistent link: https://www.econbiz.de/10010555547
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The Evolution of a "Kantian Trait": Inferring from the Dictator Game
Planas, Lorenzo Cerda - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015
The aim of this paper is twofold. Starting from the population dynamics literature, which usually finds the resulting distribution of a trait in a population, according to some parents' preferences, I answer the inverted question: Which preference function would yield into a given trait...
Persistent link: https://www.econbiz.de/10011268210
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Structured portfolio analysis under SharpeOmega ratio.
Hentati-Kaffel, Rania; Prigent, Jean-Luc - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2012
This paper deals with performance measurement of financial structured products. For this purpose, we introduce the SharpeOmega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide general results about the...
Persistent link: https://www.econbiz.de/10009421809
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Financial Symmetry and Moods in the Market.
Savona, Roberto; Soumare, Maxence; Andersen, Jørgen Vitting - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014
This paper introduces a theoretical framework for collective decision making to describe fluctuations and transitions in financial markets. Investors are assumed to be boundedly rational, using a limited set of information including past price history and expectation on future dividends....
Persistent link: https://www.econbiz.de/10010762661
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Ambiguïté, comportements et marchés financiers.
Jeleva, Meglena; Tallon, Jean-Marc - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2014
Nous proposons une revue de la littérature récente centrée sur les effets de l'ambiguïté (ou incertitude non probabilisée) sur les comportements des acteurs sur les marchés financiers et sur le fonctionnement de ces derniers. Nous exposons les mécanismes théoriques de choix de...
Persistent link: https://www.econbiz.de/10010942370
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Efficient frontier for robust higher-order moment portfolio selection.
Jurczenko, Emmanuel F.; Maillet, Bertrand; Merlin, Paul M. - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2008
This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and...
Persistent link: https://www.econbiz.de/10005797738
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Arbitrage and equilibrium with portofolio constraints.
Cornet, Bernard; Gopalan, Ramu - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009
We consider a multiperiod financial exchange economy with nominal assets and restricted participation, where each agent's portfolio choice is restricted to a closed, convex set containing zero, as in Siconolfi (1989). Using an approach that dates back to Cass (1984, 2006) in the unconstrained...
Persistent link: https://www.econbiz.de/10008622058