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...

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.

In this article we study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product.

How does risk aversion affect choices when expenses improve probabilities? Attempts to answer this question in the literature found an endogenous switching probability. In this paper we introduce a new concept of comparative attitude to risl, namely proper risk behavior and determine 1/2 as the...

Gollier and Kimball (1994, 1996) have developed a standard technique based on the diffidence theorem. This theorem provides a very simple instrument to solve relatively sophisticated problems when preferences are state independent. The object of this article is to show that their theorem is also...

We study the effect of riskiness on optimal portfolio. As discussed by Levy (1992), the main drawback of the standard model witg ine decision variable and one risky asset developed over the last twenty-five years, following the contributions of Rothschild and Stiglitz (1970,1971) and Hadar and...

In this paper, we propose an empirical analysis of the presence of adverse selection in an insurance market. We first present a theoratical model of a market with adverse selection and we introduce different issues related to transaction costs, accident costs, risk aversion and moral hazard. We...

We discuss how to detect the informational content of household decisions among the explanatory variables of econometric models. Two applications to the choice of automobile insurance contracts and the demand for life insurance are provided. We show that the information provided by additional...

This paper attemps to rationalize the use of insurance covenants in financial contracts, and shows how external financing generates a demand for insurance by risk-neutral entrepreneurs. In our model, the entrepreneur needs external financing for a risky project that can be affected by an...