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...

Dans ce papier, on se propose de montrer qu'il est possible d'employer en premiere approximation, dans un cadre temporel stationnaire, la technique d'analyse factorielle statique (seulement adaptee a priori a des donnees individuelles) et d'en deriver une procedure de test du nombre de facteurs...

Cet article s'interesse a la courbe inegalite-chomage. Notre point de depart est une commentaire de l'evolution de cette courbe eb France, au Japon, aux Etats-Unis et en Grande-Bretagne. Ensuite, notre discussion est consacree a l'illustration theorique et normative de cette courbe a long terme....

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...

METROPOLIS proposes an interactive environment which simulates automobile traffic in large urban areas. The core of the system is a dynamic simulator ehich integrates commuters' departure time and route choice behavirs over large networks: Drivers are assumed to minimize a generalized travel...

In the setting of incomplete markets, this paper presents a general result of weak convergence for derivative assets prices. It is proved that the minimal martingale measure first introduced by Follmer and Schweizer is a convenient tool for the stabilization under convergence. This extends...