Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption

Les divergences des analystes dans leurs preacute;visions des reacute;sultats futurs des entreprises est un fait. De maniegrave;re plus geacute;neacute;rale, la divergence d'opinion des investisseurs quant agrave; l'eacute;volution future des cours boursiers ou des fondamentaux de l'eacute;conomie est...

We consider in this paper two Markovian processes X and Y, solutions of a stochastic differential equation with jumps, that are comonotonic, i.e., that are such that for all t, almost surely, X_{t} is greater in one state of the world than in another if and only if the same is true for Y_{t}....

In this paper we propose a generalization of the comonotonicity notion by introducing and exploring the concept of conditional comonotonicity. We characterize this notion and we show on examples that conditional comonotonicity is the natural extension of the concept of comonotonicity to dynamic...

We consider a model in which any investment opportunity is described in terms of cash flows. We don't assume that there is a numeraire, enabling investors to transfer wealth through time; the time horizon is not supposed to be finite and the investment opportunities are not specifically related...

The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid modulo a predictable aggregation bias, which takes the...

We provide a discipline for belief formation through a model of subjective beliefs, in which agents hold incorrect but strategic beliefs. More precisely, we consider beliefs as a strategic variable that agents can choose (consciously or not) in order to maximize their utility at the equilibrium....

Can investors with irrational beliefs be neglected as long as they are rational on average? Does unbiased diagreement lead to trades that cancel out with no consequences on prices, as implicitly assumed by the traditional models? We show in this paper that there is an important impact of...

We provide a discipline for belief formation through a model of subjective beliefs, in which agents hold incorrect but strategic beliefs. More precisely, we consider beliefs as a strategic variable that agents can choose (consciously or not) in order to maximize their utility at the equilibrium....