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Stochastic Dominance and Optimal Portfolio.

Dachraoui, K.; Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2001

optimal financial portfolios with two risky and a risk free assets. We show that constant relative risk aversion plays an …

Persistent link: https://www.econbiz.de/10005618710

A Model of Comparative Statics for Changes in Stochastic Returns with Dependent Risky Assets.

Dionne, G.; Gollier, C. - Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. - 1996

In this paper we show how the order of Linear Stochastic Dominance proposed by Gollier (1995) can be applied to situations with dependent risky assets.

Persistent link: https://www.econbiz.de/10005618862

The Empirical Measure of Information Problems with Emphasis on Insurance Fraud.

Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2000

We discuss the difficult question of measuring the effects of asymmetric information problems on resource allocation. Two of them are retained: moral hazard and adverse selection.

Persistent link: https://www.econbiz.de/10005618705

Comparative Mixed Risk Aversion.

Dachraoui, K.; Dionne, G.; Eeckhoudt, L.; Godfroid, P. - HEC Montréal (École des Hautes Études Commerciales) - 2000

Recently, Caballi and Pomansky (1996) proposed a formal definition of mixed risk aversion and characterized stochastic … dominance in presence of such utility functions. However they did not study comparative mixed risk aversion. In this note we … give a sufficient condition for analytic comparative mixed risk aversion. …

Persistent link: https://www.econbiz.de/10005775503

Portfolio Response to a Shift in a Return Distribution: Comment

Dachraoui, K.; Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 1998

In this paper we show how a shift in a return distribution affects the composition of an optimal portfolio in the case of one riskless asset and two risky assets. We obtain that, in general, such a shift modifies the composition of the mutual fund. We also show that the separating conditions...

Persistent link: https://www.econbiz.de/10005775505

Commitment and Automobile Insurance Regulation in France, Quebec and Japan.

Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2001

selection, whereas bonus-malus (or merit-rating) schemes are introduced because risk categories lack homogeneity or fairness and …

Persistent link: https://www.econbiz.de/10005775506

Evidence of Adverse Selection in Automobile Insurance Markets

Dionne, G.; Gourieroux, C.; Vanasse, C. - HEC Montréal (École des Hautes Études Commerciales) - 1998

, accident costs, risk aversion and moral hazard. We then discuss an econometric modeling based on latent variables and we derive …

Persistent link: https://www.econbiz.de/10005775509

Portfolio Response to a Shift in a Return Distribution: Comment

Dachraoui, K.; Dionne, G. - Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. - 1998

In this paper we show how a shift in a return distribution affects the composition of an optimal portfolio in the case of one riskless asset and two risky assets. We obtain that, in general, such a shift modifies the composition of themutual fund. We also show that the separating conditions...

Persistent link: https://www.econbiz.de/10005775621

Optimal Cognitive Processes for Lotteries.

Alarie, Y.; Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2001

The aim of the present paper is to propose a rational model of decision-making for lotteries. The key element of the theory is the use of cognitive processes. The maximization of the degree of confidence associated with each judgment involves different processes. Our contribution explains some...

Persistent link: https://www.econbiz.de/10005618709

Evidence of Adverse Selction in Automobile Insurance Markets

Dionne, G.; Gourieroux, C.; Vanasse, C. - 1998

, accident costs, risk aversion and moral hazard. We then discuss an econometric modeling based on latent variables and we derive …

Persistent link: https://www.econbiz.de/10005641006