Abouda, M.; Chateauneuf, A. - Centre de recherche de mathématiques et économie … - 1999
In a previous paper, Abouda and Chateauneuf proved that for RDEU maximizing MM with non-increasing marginal utility, positivity of the bid-ask spread can be identified with a very weak form of risk aversion SMRA. We perform here a more thorough study of SMRA, firstly in a general setting, and...