We study the consequences of dropping the perfect competition assumption in a standard infinite horizon model with infinitely-lived traders and real collateralized assets, together with one additional ingredient : information among players is asymmetric and monitoring is incomplete. The key...

In the aftermath of the recent bank-centered financial crisis it is still unclear how much of the decline in non-financial firms' stock prices was due to liquidity shortage, and how much of this decline was due to lower expected consumer demand. The stock returns are examined over nine periods...

Nous proposons une revue de la littérature récente centrée sur les effets de l'ambiguïté (ou incertitude non probabilisée) sur les comportements des acteurs sur les marchés financiers et sur le fonctionnement de ces derniers. Nous exposons les mécanismes théoriques de choix de...

This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four-dimensional space using L-moments, and...

La Vallée (1968), in the expected utility model, gives a sufficient condition for positivity of the bid-selling spread. In this article, we show that this sufficient condition, namely decreasing absolute risk aversion (DARA) is in fact necessary. Moreover, we prove that the expected utility...

This paper belongs to the study of decision making under risk. We will be interested in modeling the behavior of decision makers (hereafter referred to as DM) when they are facing risky choices. We first introduce both the general framework of decision making problem under risk and the different...

This paper focuses on the study of decision making under risk. We first recall some model-free definitions of risl aversion and increase in risk. We propose a new form of behavior under risk that we call anti-monotone risk aversion (hererafter referred to as ARA) related to the concept of...

In this paper we deal with the problem of non-stationarity encountered in a lot of data sets, mainly in financial and economics domains, coming from the presence of multiple seasonnalities, jumps, volatility, distorsion, aggregation, etc. Existence of non-stationarity involves spurious behaviors...

For many assets and liabilities there exist deep and liquid markets so that the market value are reasily observed. However, for non-hedgeable risks, the market value of liabilities must be estimated. The Draft Solvency II Directive suggests in article 75 that the valuation of technical...

This paper aims to provide a dynamic analysis of the insurance linked securities index. We are discussing the behaviour of the index for three years and pointing out the consequences of some major events like Katrina or the last and current financial crisis. Some stylized facts of the index,...