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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

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

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

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

Optimal investment under multiple defaults risk: a BSDE-decomposition approach

Jiao, Ying; Kharroubi, Idris; Pham, Huyen - Université Paris-Dauphine (Paris IX) - 2013

We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modelled by a conditional...

Persistent link: https://www.econbiz.de/10011166302

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

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

Comment mesurer l'aversion pour le risque?

Tampéreau, Yann; Teiletche, Jérôme - Université Paris-Dauphine (Paris IX) - 2002

Nous présentons et testons diverses mesures courantes de l'inclinaison des investisseurs vis-à-vis des produits risqués : les spreads high yield et émergent, les volatilités implicites sur les marchés boursiers et des changes, la corrélation taux d'intérêt/bourse, et celle entre...

Persistent link: https://www.econbiz.de/10011072248

Comportement décisionnel et juste valeur des instruments financiers : le cas des stock-options

Bahaji, Hamza - Université Paris-Dauphine (Paris IX) - 2013

Le thème central de cet ouvrage porte sur l'adéquation des représentations théoriques du comportement décisionnel des agents et sur ses implications pour la pertinence des mesures de la juste valeur des instruments financiers. L'ouvrage vise en premier lieu à mettre en perspective le rôle...

Persistent link: https://www.econbiz.de/10011072712

Behavioral Biases and the Representative Agent

Jouini, Elyès; Napp, Clotilde - Université Paris-Dauphine (Paris IX) - 2012

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/10011072719