Can investors with irrational beliefs be neglected as long as they are rational on average? Do their trades cancel out with no consequences on prices, as implicitly assumed by traditional models? We consider a model with irrational investors, who are rational on average. We obtain waves of...

We define a coherent risk measures as set-valued maps satisfying some axioms. We show that this definition is a convenient extension of the real-valued risk measures introduced by Artzner, Delbaen, Eber and Heath (1998). We then discuss the aggregation issue, i.e. the passage from valued random...

S. Kusuoka [K 01, Theorem 4] gave an interesting dual characterization of law invariant coherent risk measures, satisfying the Fatou property. The latter property was introduced by F. Delbaen [D 02]. In the present note we extend Kusuoka's characterization in two directions, the first one being...