This paper explores empirically the link between stocks returns Value-at-Risk (VaR) and the state of financial markets cycle. The econometric analysis is based on a simple vector autoregression setup. Using quarterly data from 1970Q4 to 2008Q4 for France, Germany and the United-Kingdom, it turns...

The optimal form of insurance contracts for multiple risks is examined. A well-known result in the literature is that, under fairly general conditions, an insurance policy with a deductible for aggregate losses is optimal. Real-world markets, however, are typically incomplete in that they...

In the standard portfolio problem, a shift in the distribution of the risky asset is 'portfolio-dominated' if it reduces the demand for the risky asset by all risk-averse agents, irrespective of the risk-free rate. The author shows that the condition obtained by M. Landsberger and I. Meilijson...

A fixed budget must be allocated to a finite number of different projects with uncertain outputs. The expected marginal productivity of capital in a project first increases then decreases with the amount of capital invested. Such behavior is common when output is a probability (of escaping...