In this paper, we compare the US and French risk premium computed on high quality data. We confirm that the US risk premium has been constantly higher. We also show that the US equity outperformance is even higher when we compute the price of risk. Indeed, the US equity risk has been lower than...

In the present paper, we propose a robust decision methodology, when there is some ambiguity concerning the potential future scenarii about decision variables. The decision maker considers several prior models for those scenarii and displays an ambiguity aversion against them. A two step...