In this paper we extend the theory of precautionary saving to the case in which uncertainty is multidimensional and we develop a matrix-measure of multivariate prudence. Furthermore, we characterize comparative prudence, decreasing and increasing prudence, the effect of uncertainty on the...

This paper derives the properties of the discount rate that should be applied to a public-sector project when the affected population has heterogeneous degrees of impatience. We show that, for any distribution of discount rates, the social discount rate has the following properties: it decreases...

[eng] Beliefs' heterogeneity, risk premium and volatility . This article analyses introducing of subjective and heterogeneous beliefs in traditional equilibrium model. The authors assume heterogeneous beliefs and answer the questions : 1 - is there a consensual belief which implies same...

In the context of an incomplete market or of imperfect information, it is well known that the arbitrage approach does not enable us to obtain a unique fair price for all contingent claims but only a fair pricing interval, which is known to be too large to be of great interest. We present here a...