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Decision under risk : The classical Expected Utility model
Chateauneuf, Alain; Cohen, Michèle; Tallon, Jean-Marc - HAL - 2008
This chapter of a collective book aims at presenting the basics of decision making under risk. We first define notions … of risk and increasing risk and recall definitions and classifications (that are valid independently of any … representation) of behavior under risk. We then review the classical model of expected utility due to von Neumann and Morgenstern …
Persistent link: https://www.econbiz.de/10010738471
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Typology of stock market offenses in France: An analysis of sanctions by the AMF since 2006
Demerens, Frédéric; Najar, Dorra; Paré, Jean-Louis; … - HAL - 2013
This paper presents a study intended to demonstrate how the Financial Market Authority (AMF) in France uses its regulatory and sanctioning powers with regard to brokers, listed companies and other actors (individuals) in the financial industry during the period 2006-2011. The AMF actions are...
Persistent link: https://www.econbiz.de/10010775229
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Share repurchase regulations: do firms play by the rules?
Ginglinger, Edith; Hamon, Jacques - HAL - 2009
Open market share repurchases are strictly regulated to prevent companies from profiting from insider information. We examine compliance with these rules in France, where the mandatory disclosure of share repurchases provides detailed information on repurchases actually undertaken. Using a...
Persistent link: https://www.econbiz.de/10008790731
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Quadratic hedging in an incomplete market derived by an influent informed investor
Eyraud-Loisel, Anne - HAL - 2009
informed agent. An expression of the residual risk a non informed trader keeps by detaining an option in this influenced and …
Persistent link: https://www.econbiz.de/10008793934
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OPTION HEDGING BY AN INFLUENT INFORMED INVESTOR
Eyraud-Loisel, Anne - HAL - 2009
In this paper a model with an influent and informed investor is presented from a hedging point of view. The financial agent is supposed to possess an additional information, and is also supposed to influence the market prices. The problem is modeled by a forward-backward stochastic differential...
Persistent link: https://www.econbiz.de/10008794181
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Insider Trading With Product Differentiation
Daher, Wassim; Aydilek, Harun; Karam, Fida; Aydilek, Asiye - HAL - 2012
In this paper, we analyze the effect of Cournot competition with differentiated products on the real and financial decisions of a publicly-owned firm, with three different structures in the financial market : monopoly, duopoly and Stackelberg. We shows that the degree of product differentiation...
Persistent link: https://www.econbiz.de/10010635062
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Insider Trading in a Two-Tier real market structure model
Daher, Wassim; Karam, Fida - HAL - 2011
In this paper, we study the real and financial effects of insider trading in the spirit of Jain and Mirman (1999). Unlike the previous works that address this issue, we suppose that the production of the real good is costly and depends mainly of the price of an intermediate good produced locally...
Persistent link: https://www.econbiz.de/10010635105
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Insider Trading with Different Market Structures
Daher, Wassim; Karam, Fida; Mirman, Leonard J. - HAL - 2011
We study an extension of Jain and Mirman (1999) with two insiders under three different market structures : (i) Cournot competition among the insiders, (ii) Stackelberg game between the insiders and (iii) monopoly in the real market and Stackelberg in the financial market. We show how the...
Persistent link: https://www.econbiz.de/10010635234
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Optimal Student Loans and Graduate Tax under Moral Hazard and Adverse Selection
Gary-Bobo, Robert J.; Trannoy, Alain - HAL - 2014
-market outcomes, adverse selection, moral hazard and risk aversion. The model combines student loans with an elementary optimal income …
Persistent link: https://www.econbiz.de/10010933842
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In search of characterization of the preference for safety under the Choquet model
Cohen, Michèle; Meilijson, Isaac - HAL - 2011
. This paradigm, whose Expected Utility version takes the form of Arrow & Pratt's more risk averse concept, will be studied …, preserves the flavor of the "more pessimism than greediness" characterization of monotone risk aversion by Chateauneuf, Cohen …
Persistent link: https://www.econbiz.de/10010605324