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Intertemporal equilibria with Knightian Uncertainty
Dana, Rose-Anne; Riedel, Frank - Institut de Préparation à l'Administration et à la … - 2013
of ambiguity, there exists an equilibrium with inertia where agents also insure fully against Knightian uncertainty. When … the level of ambiguity exceeds a critical threshold, full insurance no longer prevails and there exist equilibria with …
Persistent link: https://www.econbiz.de/10010860446
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Optimal Positioning in Financial Derivatives under Mixture Distributions
Hentati-Kaffel, R.; Prigent, J.L. - Institut de Préparation à l'Administration et à la … - 2014
In this paper, we study and extend the optimal portfolio positioning
Persistent link: https://www.econbiz.de/10010782099
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Aggregation of coherent experts opinion: a tractable extreme-outcomes consistent rule
Basili, Marcello; Chateauneuf, Alain - Institut de Préparation à l'Administration et à la … - 2014
The paper defines a consensus distribution with respect to experts’ opinions by a multiple quantile utility model. The paper points out that the Steiner Point is the representative consensus probability. The new rule of experts’ opinions aggregation, that can be evaluated by the Shapley...
Persistent link: https://www.econbiz.de/10010891093