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Les marchés d'actifs sûrs
Folus, Didier - Université Paris-Dauphine (Paris IX) - 2012
Les actifs financiers sûrs sont au cœur de la finance de marché aujourd'hui. L'aptitude de tels actifs à protéger la valeur de l'épargne et des avoirs financiers, à servir de garantie à des prêteurs, à permettre aux entités souveraines de se financer ou encore aux banques centrales de...
Persistent link: https://www.econbiz.de/10011073328
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Pareto efficiency for the concave order and multivariate comonotonicity
Galichon, Alfred; Dana, Rose-Anne; Carlier, Guillaume - Université Paris-Dauphine (Paris IX) - 2012
comonotonicity condition. The goal of the paper is to generalize the comonotone dominance principle as well as the equivalence … between efficiency and comonotonicity to the multidimensional case. The multivariate case is more involved (in particular … because there is no immediate extension of the notion of comonotonicity), and it is addressed by using techniques from convex …
Persistent link: https://www.econbiz.de/10010706660
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Optimal risk-sharing rules and equilibria with Choquet-expected-utility
Tallon, Jean-Marc; Dana, Rose-Anne; Chateauneuf, Alain - Université Paris-Dauphine (Paris IX) - 2000
the convex transform of some probability distribution. Comonotonicity of Pareto-optima is also shown to be true in the two … the two-agent, two-state case. This comonotonicity result does not generalize to more than two states as we show with a …
Persistent link: https://www.econbiz.de/10010708888
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Multivariate utility maximization with proportional transaction costs and random endowment
Campi, Luciano; Benedetti, Giuseppe - Université Paris-Dauphine (Paris IX) - 2012
In this paper we deal with a utility maximization problem at finite horizon on a continuous-time market with conical (and time varying) constraints (particularly suited to model a currency market with proportional transaction costs). In particular, we extend the results in Campi and Owen (2011)...
Persistent link: https://www.econbiz.de/10010706447
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Utility Maximisation with Proportional Transaction Costs
Campi, Luciano - Université Paris-Dauphine (Paris IX) - 2009
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a smooth, multivariate utility function, allowing for simultaneous consumption of any prescribed selection...
Persistent link: https://www.econbiz.de/10011071836
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Multivariate Utility Maximization with Proportional Transaction Costs
Owen, Mark; Campi, Luciano - Université Paris-Dauphine (Paris IX) - 2011
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor’s preferences are represented by a multivariate utility function, allowing for simultaneous consumption of any prescribed selection of the...
Persistent link: https://www.econbiz.de/10011073816
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Volatility Strategies for Global and Country Specific European Investors
Signori, Ombretta; Malongo, Hassan; Fermanian, Jean-David; … - Université Paris-Dauphine (Paris IX) - 2012
Adding volatility exposure to an equity portfolio offers interesting opportunities for long-term investors. This article discusses the advantages of adding a long volatility strategy for a protection to a global European equity portfolio and to specific equity portfolios based in "core" or...
Persistent link: https://www.econbiz.de/10010706884
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L'utilisation des produits dérivés et les caractéristiques financières des entreprises : le cas français
Mefteh, Salma - Université Paris-Dauphine (Paris IX) - 2005
This paper empirically tests the determinants of derivatives use using a sample of French nonfinancial firms- a relatively under investigated area in the risk management literature. It shows that several factors related to maximizing the firm's value significantly affect the decision to use...
Persistent link: https://www.econbiz.de/10010905110
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On Abel's Concepts of Doubt and Pessimism
Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine (Paris IX) - 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/10010905355
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Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
Maillet, Bertrand; Tokpavi, Sessi; Vaucher, Benoit - Université Paris-Dauphine (Paris IX) - 2015
The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for investors who wish to invest in the global minimum...
Persistent link: https://www.econbiz.de/10011228180