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...

Our aim is to analyze the link between optimism and risk aversion in a subjective expected utility setting and to estimate the average level of optimism when weighted by risk tolerance. This quantity is of particular importance since it characterizes the consensus belief in risk-taking...

In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We establish that Abel's result on the impact of doubt on the risk premium is not correct (see Abel, A., 2002. An exploration of the effects of pessimism and doubt on asset...

Les divergences des analystes dans leurs prévisions des résultats futurs des entreprises est un fait. De manière plus générale, la divergence d'opinion des investisseurs quant à l'évolution future des cours boursiers ou des fondamentaux de l'économie est largement étayée dans la...

This paper studies foundational issues in securities markets models with fixed costs of trading, i.e. transactions costs that are bounded regardless of the transaction size, such as fixed brokerage fees, investment taxes, operational, and processing costs or opportunity costs. We show that the...

We study securities market models with fixed costs. We first characterize the absence of arbitrage opportunities and provide fair pricing rules. We then apply these results to extend some popular interest rate and option pricing models that present arbitrage opportunities in the absence of fixed...

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...

In this paper we study the stability (in the L p as well as for the almost sure convergence sense) of the optimal investment-consumption strategy with respect to the choice of the utility function.

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price processes. In the more...

In this paper, we study securities market models with fixed costs. We characterize the absence of arbitrage opportunities and we provide fair pricing rules. We then apply these results to extend some popular interest rate and option pricing models, which present arbitrage opportunities in the...