This paper derives fundemental arbitrage pricing results in finite dimensions in a simple unified framework using Tucker's theorem of the alternative. Frictionless results plus those with dividends, periodic interest payments, transaction costs, different interest rates for lending and...

This paper extends Merton’s continuous time (instantaneous) mean-varianceanalysis and the mutual fund separation theory. Given the existence of a Marko-vian state price density process, the optimal portfolios from concave utility max-imization are instantaneously mean-variance efficient...

This paper considers the problem of investment of capital in risky assets in adynamic capital market in continuous time. The problem addressed is the control of risk, and in particular the risk associated with errors in the estimation of returns on assets. The framework for investment risk is a...

Our aim is to give an axiomatization of preferences over infinite consumptionstreams. At first we adopt the additive case, and give a characterization of pref-erences which satisfy patience (Marinacci (1998)) or equivalently what Diamond(1965) named equal treatment of all generations. We then...

This paper examines the effects of uncertainty and the choice of financial structure in a vertically differentiated duopoly. In the market model consumers are located along a continuum of taste parameters and prefer unanimously higher to lower qualities when quality prices are set at average...

Due to their underlying assumptions, the standard concepts of risk aversion and preference for the present are generally defined separately and represented by scalar measures, and this implies many shortcomings. More specifically, if measured by a scalar, the risk aversion remains unchanged,...

Building upon the works of Gilboa (1989), Shalev (1997) and De Waegenaere andWakker (2001), we show that a simple version of variation aversion, jointly witha myopia axiom allows to derive in an infinite setting a meaningful expressionfor evaluating income streams. Furthermore, we prove that...

Random sets might be considered from several possible viewpoints. A "Business-managerial" 'viewpoint' would prop the following definition : take all sets, list them and then pick one set from this list at random. An "Image analysis" 'viewp oint' would yield alternatively the following...

We consider a class of functions satisfying the gross-substitution property (GS-functions). We show that GS-functions are concave functions whose parquets are constributed by quasi-polymatroids. The class of conjugate functions to GS-functions turns out to be the class of polyhedral supermodular...

We outline a martingale duality method for determining the minimal entropy martingale measure in a general continuous semimartingale model, and provide the relevant verification results. This method is illustrated by a detailed case study of the Stein and Stein stochastic volatility model driven...