[eng] Value added of a risk transfer and pareto-optimality. . In a previous paper, we have used the concept of value added to characterize a risk sharing agreement. In this note we analyze conditions under which the value added maximization coincides with Pareto optimality. These conditions are...

[fre] Partage des risques et création de valeur ajoutée. . Les notions de prix d'achat et de prix de vente d'une loterie sont présentées pour définir les conditions d'un transfert de risque entre deux agents.. L'échange optimal consiste, dans cet article, à maximiser la valeur ajoutée...

Capital protected notes are very popular structured products since the internet bubble burst in 2000. Investors are protected against large losses they could suffer if they were investing directly in the underlying index or portfolio of stocks. It then seems intuitive that such products are...

The disposition effect is a well established phenomenon in the empirical and experimental financial literature. It leads to sell winners too early and to hold losers too long. In this paper, we first show that this phenomenon has two non negligible consequences. It decreases the welfare of...

In a recent paper entitled ldquo;Putting Risk in its Proper Placerdquo;, Eeckhoudt and Schlesinger (2006) established a theorem linking the sign of the n-th derivative of an agent's utility function to her preferences among pairs of simple lotteries. We characterize these lotteries and show...

We analyze the demand of the Euromillions lottery tickets, a European lotto-like game launched in 2004 and played simultaneously in nine countries with the same rules and the same draws. Using the effective price methodology, we show that price elasticities are very different across countries....