Zobrazeno 1 - 10
of 97
pro vyhledávání: '"Alain Chateauneuf"'
Autor:
Alain Chateauneuf, Bernard Cornet
Publikováno v:
Economic Theory Bulletin. 10:13-25
The fundamental theory of asset pricing has been developed under the two main assumptions that markets are frictionless and have no arbitrage opportunities. In this case the market enforces that replicable assets are valued by a linear function of th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b2cc081edbcb8d9429d7ddbc0754fc0b
https://doi.org/10.1007/s40505-022-00216-4
https://doi.org/10.1007/s40505-022-00216-4
Publikováno v:
Theory and Decision. 92:569-580
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::19b673d1fa0eece6a9ec03676ce2a167
https://doi.org/10.1007/s11238-022-09880-1
https://doi.org/10.1007/s11238-022-09880-1
Autor:
Alain Chateauneuf, Bernard Cornet
Publikováno v:
Economic Theory. 73:721-744
This paper studies arbitrage-free financial markets with bid-ask spreads whose super-hedging prices are submodular. The submodular assumption on the super-hedging price, or the supermodularity usually assumed on utility functions, is the formal expre
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::717e66e2c91d879424f062b9cc95948d
https://doi.org/10.1007/s00199-022-01415-7
https://doi.org/10.1007/s00199-022-01415-7
Publikováno v:
Revue économique. 71:331-336
EnglishSchmeidler [1986], [1989] famously used his nonadditive probability model to describe a decision-maker’s uncertainty aversion and/or uncertainty loving. This short note illustrates how nonadditive probability can also be used to obtain a sim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8e842f7092e9dbfdd4dbde069fb45827
https://doi.org/10.3917/reco.712.0331
https://doi.org/10.3917/reco.712.0331
Autor:
Alain Chateauneuf, Bernard Cornet
Publikováno v:
Economic Theory. 73:745-746
A Correction to this paper has been published
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ead971a903484fca909a478f504b1999
https://doi.org/10.1007/s00199-022-01430-8
https://doi.org/10.1007/s00199-022-01430-8
Publikováno v:
Journal of Mathematical Economics
Journal of Mathematical Economics, Elsevier, In press, pp.102543. ⟨10.1016/j.jmateco.2021.102543⟩
Journal of Mathematical Economics, Elsevier, In press, pp.102543. ⟨10.1016/j.jmateco.2021.102543⟩
International audience; We study ambiguity aversion by introducing some new notions of propensity for hedging that are less general than convexity of preferences. We therefore characterize the corresponding properties of the capacity and Choquet func
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d6061e15266d2110fd4c0264eb581bf4
https://hal.archives-ouvertes.fr/hal-03330739
https://hal.archives-ouvertes.fr/hal-03330739
Autor:
Alain Chateauneuf, Zaier Aouani
Publikováno v:
Journal of Mathematical Economics
Journal of Mathematical Economics, Elsevier, 2020, 90, pp.74-79. ⟨10.1016/j.jmateco.2020.06.001⟩
Journal of Mathematical Economics, Elsevier, 2020, 90, pp.74-79. ⟨10.1016/j.jmateco.2020.06.001⟩
International audience; Motivated by the pertinence of Pigou–Dalton (PD) transfers for inequality measurement when only one attribute is involved, we show that inframodular functions are consistent with multidimensional PD transfers and that weakly
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::09b2900f3c41a8f0c8e85a3211cba6b0
https://hal-paris1.archives-ouvertes.fr/hal-03260218
https://hal-paris1.archives-ouvertes.fr/hal-03260218
Autor:
Alain Chateauneuf, Marcello Basili
Publikováno v:
International Journal of Approximate Reasoning
International Journal of Approximate Reasoning, Elsevier, 2020, 123, pp.17-25. ⟨10.1016/j.ijar.2020.04.005⟩
International Journal of Approximate Reasoning, Elsevier, 2020, 123, pp.17-25. ⟨10.1016/j.ijar.2020.04.005⟩
International audience; This paper considers the issue of aggregation of experts' opinions expressed through not necessarily independent and even conflicting probability distributions or multiple priors. The paper addresses the elicitation of the con
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::90d23c7979d86d7bf16af0ec4e450c3d
https://hal-paris1.archives-ouvertes.fr/hal-03260206
https://hal-paris1.archives-ouvertes.fr/hal-03260206
Correction to: Optimality of deductible: a characterization, with application to Yaari’s dual theory
Publikováno v:
Theory and Decision. 92:581-581
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::67ad566e1778368d04ff714ccfb422f5
https://doi.org/10.1007/s11238-022-09888-7
https://doi.org/10.1007/s11238-022-09888-7
Publikováno v:
Economic Theory
Economic Theory, Springer Verlag, 2019, 68, pp.335-361. ⟨10.1007/s00199-018-1125-9⟩
Economic Theory, Springer Verlag, 2019, 68, pp.335-361. ⟨10.1007/s00199-018-1125-9⟩
International audience; This paper studies the problem of updating the super-replication prices of arbitrage-free finite financial markets with a frictionless bond. Any super-replication price is a pricing rule represented as the support function of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c9cdb830f85a651c9ade06a456119180
https://doi.org/10.1007/s00199-018-1125-9
https://doi.org/10.1007/s00199-018-1125-9