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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
Minimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers and market practitioners, as their construction does not rely on expected average returns and is therefore assumed to be robust. In this paper, we consider a related approach,...
Persistent link: https://www.econbiz.de/10010706606
In an extended variant of the life-cycle hypothesis, saving behaviour is shown to depend crucially on the interaction between two preference parameters : γ, which represents risk attitudes (aversion, prudence…), and δ, the rate of time depreciation. Hence, the predictions of four specific...
Persistent link: https://www.econbiz.de/10011073664
The standard literature on the value of life relies on Yaari’s (1965) model, which includes an implicit assumption of risk neutrality with respect to life duration. To overpass this limitation, we extend the theory to a simple variety of nonadditively separable preferences. The enlargement we...
Persistent link: https://www.econbiz.de/10011166331
Persistent link: https://www.econbiz.de/10010861555
We study a dynamic and in nite{dimensional model with Knightian uncertainty modeled by incomplete multiple prior preferences. In in- terior e cient allocations, agents share a common risk{adjusted prior and use the same subjective interest rate. Interior e cient alloca- tions and equilibria...
Persistent link: https://www.econbiz.de/10010861585
Persistent link: https://www.econbiz.de/10011072095
Persistent link: https://www.econbiz.de/10011074456
We study a dynamic and infinite–dimensional model with incomplete multiple prior preferences. In interior efficient allocations, agents share a common risk–adjusted prior and subjective interest rate. Interior efficient allocations and equilibria coincide with those of economies with...
Persistent link: https://www.econbiz.de/10011171623
Kimball, 1990a and Kimball, 1990b established that income risk increases the marginal propensity to consume if and only if absolute prudence decreases. We characterize decreasing and increasing multivariate prudence and show that a multidimensional risk increases the marginal propensity to...
Persistent link: https://www.econbiz.de/10010707440