The existing literature has shown that less political uncertainty, or more central bank transparency, may worsen macroeconomic performance by raising the nominal wage. We extend this analysis to a non-bayesian framework, where there is some aversion to ambiguity. We show that the result found in...

Real options models characterized by the presence of ambiguity have been recently proposed. But based on recursive multiple-priors approaches to solve ambiguity, these seminal models reduce individual preferences to extreme pessimism by considering only the worst case scenario. In contrast, by...

We underline that some results obtained in the literature on central bank transparency may be quite different when we take a non-Bayesian approach to uncertainty, where "ambiguity" is taken into account. We consider some specific argument of the literature (obtained under a Bayesian approach),...

In this paper, we work on indifference valuation of variable annuities and give a computation method for indifference fees. We focus on the guaranteed minimum death benefits and the guaranteed minimum living benefits and allow the policyholder to make withdrawals. We assume that the fees are...

This paper studies the question of filtering and maximizing terminal wealth from expected utility in a stochastic volatility models. The special feature is that the only information available to the investor is the one generated by the asset prices and, in particular, the return processes cannot...

In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model of foreign currencies with proportional transaction costs. In our setting, transaction costs may be random, time dependent, have...

In this article, we characterize efficient portfolios, i.e. portfolios which are optimal for at least one rational agent, in a very general financial market model of foreign currencies with proportional transaction costs. In our setting, transaction costs may be random, time dependent, have...

We study the valuation of variable annuities for an insurer. We concentrate on two types of these contracts that are the guaranteed minimum death benefits and the guaranteed minimum living benefits ones and that allow the insured to withdraw money from the associated account. As for many...

In this paper, we point out the role of anticomonotonicity in the characterization of efficient contingent claims, and in the measure of inefficiency size of financial strategies. Two random variables are said to be anticomonotonic if they move in opposite directions. We first provide necessary...

In this article, we characterize efficient contingent claims in a context of transaction costs and multidimensional utility functions. The dual formulation of utility maximization helps us outline the key notion of cyclic anticomonotonicity. Moreover, after defining a utility price in this...