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Arbitrage and viability in securities markets with fixed trading costs.
Jouini, Elyès; Napp, Clotilde; Kallal, Hedi - Université Paris-Dauphine - 2001
existence of an equivalent martingale measure. We also show that the only arbitrage-free pricing rules on the set of attainable …
Persistent link: https://www.econbiz.de/10008800247
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Arbitrage pricing and equilibrium pricing : compatibility conditions.
Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine - 2001
financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator …The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete … to construct a unique valuation operator which only depends on some particular price processes as well as on the …
Persistent link: https://www.econbiz.de/10008832173
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Vieillissement et composition du patrimoine des ménages.
El Mekkaoui de Freitas, Najat; Lavigne, Anne; Mahieu, Ronan - Université Paris-Dauphine
Persistent link: https://www.econbiz.de/10008551700
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Increase in Life-Expectancy and Saving Behaviour.
Lavigne, Anne; Bernard, Philippe; Mahieu, Ronan; El … - Université Paris-Dauphine
The age structure of the French population has been experiencing dramatic changes over the past decades and is likely to do so in a near future. The increasing proportion of the elder people may modify the savings behaviour of households. The level of savings, as well as its composition, may be...
Persistent link: https://www.econbiz.de/10008551726
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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
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Behavioral biases and representative agent.
Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine
In this note, we consider an economy with heterogeneous agents, differing by their time preference rate and by their beliefs. We show that at the Pareto optimum, the representative agent exhibits interesting behavioral properties. More precisely, starting from a standard model with expected...
Persistent link: https://www.econbiz.de/10009145292
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Behavioral Properties of the Representative Agent.
Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine - 2011
In this paper, we show that behavioral features can be obtained at a group level when the individuals of the group are heterogeneous enough. More precisely, starting from a standard model of Pareto optimal allocations, with expected utility maximizers and exponential dis- counting, but allowing...
Persistent link: https://www.econbiz.de/10009195337
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La detention d'actifs risques selon l'age: Une etude econometrique / Aging and the Demand for Risky Assets: An Econometric Study.
Mahieu, Ronan; Lavigne, Anne; El Mekkaoui de Freitas, Najat - Université Paris-Dauphine - 2001
Cet article se propose d’étudier l’influence de l’âge sur la composition des patrimoines, notamment sur la détention d’actifs risqués. En effet, une hypothèse souvent avancée est que, plus l’horizon de vie se raccourcit, plus la détention d’actifs risqués devrait se réduire....
Persistent link: https://www.econbiz.de/10008462734
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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
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Unbiased Disagreement and the Efficient Market Hypothesis.
Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine
Can investors with irrational beliefs be neglected as long as they are rational on average ? Does unbiased disagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models ? We show in this paper that there is an important impact of...
Persistent link: https://www.econbiz.de/10008529672