Narrow search
Showing 1 - 10 of 20
Cover Image
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
Cover Image
Explaining the Cross-Section Returns in France : Characteristics or Risk Factors?.
Lajili, Souad - Université Paris-Dauphine - 2007
In this study, we test the three factor model of Fama and French and the Characteristic Model of Daniel and Titman (1997) on The French Stock Market over July 1976 to June 2001 period. Stocks are ranked by size and book to market ratios and then by ex-ante HML, SMB or Mkt loadings. The...
Persistent link: https://www.econbiz.de/10008498113
Cover Image
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
Cover Image
Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre.
Lajili, Souad - Université Paris-Dauphine - 2006
L'étude du modèle à trois facteurs en présence des comoments d'ordres trois et quatre dans le cadre du marché français fait l'objet de cet article. Le pouvoir explicatif des portefeuilles de marché, HML et SMB est testé en présence des portefeuilles de co-skewness et de co-kurtosis. À...
Persistent link: https://www.econbiz.de/10008520040
Cover Image
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
Cover Image
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
Cover Image
Les modèles d'évaluation des actifs financiers et les co-moments d'ordre trois et quatre.
Lajili, Souad - Université Paris-Dauphine
L'étude du modèle à trois facteurs en présence des comoments d'ordres trois et quatre dans le cadre du marché français fait l'objet de cet article. Le pouvoir explicatif des portefeuilles de marché, HML et SMB est testé en présence des portefeuilles de co-skewness et de co-kurtosis. À...
Persistent link: https://www.econbiz.de/10008532461
Cover Image
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
Cover Image
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
Cover Image
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