Showing 1 - 10 of 11
Persistent link: https://www.econbiz.de/10005669458
Comparative statics in an Arrow-Radner incomplete market equilibrium model shows that some insights on agents' risk perception can be inferred from market prices. We call "precautionary savings" those savings which are invested in some riskless asset. The results are: precautionary savings...
Persistent link: https://www.econbiz.de/10005669487
Ce papier traite du probleme suivant: quals sont les prix d'achat et de vente qu'un teneur de marche devrait fixer pour un ensemble d'actifs primitifs et derives de sorte qu'il n'y ait pas d'opportunite d'arbitrage et que tous les actifs puissnet etre echanges a toute date par des agents...
Persistent link: https://www.econbiz.de/10005779656
In markets where dealers play a central role, bid-ask spreads inhibit asset valuation as defined by the formation cost of a replicating portfolio. We introduce a nonlinear valuation formula similar to the usual expectation with respect to the risk-adjusted probability measure. This formula...
Persistent link: https://www.econbiz.de/10008521963
Persistent link: https://www.econbiz.de/10005634326
Dans le cadre du contexte francais actuel, les PME qui ne peuvent pas s'autofinancer et qui n'ont pas acces au marche financier (trop petit chiffre d'affaires) sont fortement dependantes des banques. Elles rencontrent des difficultes a se faire reconnaitre a leur juste valeur du faitd'une...
Persistent link: https://www.econbiz.de/10005634354
Persistent link: https://www.econbiz.de/10005634409
Preorder representation results are applied to a normative valuation theory for dealers setting bid-ask spreads in a dynamic framework. The preorders induced by ask and bid prices of marketed assets should satisfy some axioms in order for prices not to yield arbitrage opportunities to traders...
Persistent link: https://www.econbiz.de/10005634416
Persistent link: https://www.econbiz.de/10005634418
Persistent link: https://www.econbiz.de/10005479013