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Bellalah, Mondher; El Farissi, Inass - Université Paris-Dauphine

This paper presents a simple framework for the use of traditional capital budgeting models and the valuation of several … analysis extends the models in Bellalah (1999, 2001) for the valuation of real options within information uncertainty. We … present valuation models and simulations for the values of common real options in the presence of shadow costs of incomplete …

Persistent link: https://www.econbiz.de/10008532470

On Abel's Concepts of Doubt and Pessimism.

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine - 2008

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/10008532509

Are Risk-Averse Agents more Optimistic? A Bayesian Estimation Approach.

Robert, Christian P.; Napp, Clotilde; Marin, Jean-Michel; … - Université Paris-Dauphine - 2008

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...

Persistent link: https://www.econbiz.de/10008520050

Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs.

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine - 2007

The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus probability belief, as well as a consensus consumer, are shown to be valid modulo an aggregation bias, which takes the form of a...

Persistent link: https://www.econbiz.de/10008532587

Simulated nonparametric estimation of dynamic models with applications to finance

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005

This paper introduces a new class of parameter estimators for dynamic models, called Simulated Nonparametric Estimators (SNE). The SNE minimizes appropriate distances between nonparametric joint (or conditional) densities estimated from sample data and nonparametric joint (or conditional)...

Persistent link: https://www.econbiz.de/10010745257

Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims

Wang, Zhenyu; Zhang, Xiaoyan - Federal Reserve Bank of New York - 2006

negative and thus offer arbitrage opportunities. …

Persistent link: https://www.econbiz.de/10005526320

Inference, arbitrage, and asset price volatility

Adrian, Tobias - Federal Reserve Bank of New York - 2004

This paper models the impact of arbitrageurs on stock prices when arbitrageurs are uncertain about the drift of the dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces the volatility of asset returns. When arbitrageurs are...

Persistent link: https://www.econbiz.de/10005420543