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Overlapping Sets of Priors and the Existence of Efficient Allocations and Equilibria for Risk Measures

Dana, Rose-Anne; Le Van, Cuong - Université Paris-Dauphine (Paris IX) - 2010

The overlapping expectations and the collective absence of arbitrage conditions introduced in the economic literature to insure existence of Pareto optima and equilibria with short-selling when investors have a single belief about future returns, is reconsidered. Investors use measures of risk....

Persistent link: https://www.econbiz.de/10010707106

Vector-valued Coherent Risk Measures

Touzi, Nizar; Meddeb, Moncef; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2004

We define a coherent risk measures as set-valued maps satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from valued random...

Persistent link: https://www.econbiz.de/10010708188

Volatilités et mesures du risque

Gouriéroux, Christian; Le Fol, Gaëlle - Université Paris-Dauphine (Paris IX) - 1997

We discuss the relevance of the volatility as a risk measure. By considering recent studies on tick by tick data and specific features of derivatives, we introduce alternative measures to take into account the time and volume effects, or the distributional asymmetry.

Persistent link: https://www.econbiz.de/10011072748

Law invariant risk measures on L∞ (ℝd)

Ekeland, Ivar; Schachermayer, Walter - Université Paris-Dauphine (Paris IX) - 2011

Kusuoka (2001) has obtained explicit representation theorems for comonotone risk measures and, more generally, for law invariant risk measures. These theorems pertain, like most of the previous literature, to the case of scalar-valued risks. Jouini, Meddeb, and Touzi (2004) and Burgert and...

Persistent link: https://www.econbiz.de/10011073197

Law Invariant Risk Measures Have the Fatou Property

Touzi, Nizar; Schachermayer, Walter; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2006

S. Kusuoka [K 01, Theorem 4] gave an interesting dual characterizationof law invariant coherent risk measures, satisfying the Fatou property.The latter property was introduced by F. Delbaen [D 02]. In thepresent note we extend Kusuoka's characterization in two directions, thefirst one being...

Persistent link: https://www.econbiz.de/10011073314

CRRA Utility Maximization under Dynamic Risk Constraints

Moreno-Bromberg, Santiago; Pirvu, Traian A.; … - Université Paris-Dauphine (Paris IX) - 2013

This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete; furthermore, financial assets are modeled by Itô processes....

Persistent link: https://www.econbiz.de/10011171547

Can diversification degree amplify momentum and contrarian anomalies ?

Benouda Sioud, Olfa; Ben Mhenni Haj Youssef, Houda; El … - Université Paris-Dauphine (Paris IX) - 2009

sample. Moreover, the Bootstrap without replacement results do not support the risk based explanation. …

Persistent link: https://www.econbiz.de/10010707625

Simulation in Statistics

Robert, Christian P. - Université Paris-Dauphine (Paris IX) - 2011

Simulation has become a standard tool in statistics because it may be the only tool available for analysing some classes of probabilistic models. We review in this paper simulation tools that have been specifically derived to address statistical challenges and, in particular, recent advances in...

Persistent link: https://www.econbiz.de/10010707776

Central banks interventions and market expectations: the BoJ case

Morel, Christophe; Teiletche, Jérôme - Université Paris-Dauphine (Paris IX) - 2008

order to deal with the features of the data (small sample size, non-standard distribution), we use bootstrap tests. We show …

Persistent link: https://www.econbiz.de/10010905026

Studentization and deriving accurate p-values

Rousseau, Judith; Fraser, Donald - Université Paris-Dauphine (Paris IX) - 2008

Bayesian literature, with many variations and some preference for two versions labelled pppost and pcpred. The bootstrap method … develop: an ancillary based p-value designated panc; a special version of the Bayesian pcpred; and a bootstrap based p … bootstrap would require a magnitude more in computation and would perhaps not be accessible. Examples are given to indicate the …

Persistent link: https://www.econbiz.de/10010905315