In this paper we extend the theory of precautionary saving to the case in which uncertainty is multidimensional and we develop a matrix-measure of multivariate prudence. Furthermore, we characterize comparative prudence, decreasing and increasing prudence, the effect of uncertainty on the...

The aim of this paper is to establish a compactness result on some function sets. The main idea is very simple: it suffices to change the axis in order to transform a family of nondecreasing functions in Lipschitz ones and then to apply Ascoli's theorem. As we will see, this simple geometrical...

In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which these claims are available be convex. This is the...