Elyes Jouini

Univ. Paris Dauphine - CEREMADE

Place du Marechal de Lattre de Tassigny

Paris Cedex 16, 75775

France

SCHOLARLY PAPERS

64

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208

Scholarly Papers (64)

Financial Markets Equilibrium with Heterogeneous Agents

Number of pages: 53 Posted: 13 Mar 2010
California Institute of Technology - Division of the Humanities and Social Sciences, Univ. Paris Dauphine - CEREMADE, Ecole Polytechnique Federale de Lausanne and CNRS and Université Paris-Dauphine
Downloads 379 (75,278)
Citation 8

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Heterogeneous beliefs, heterogeneous preferences, heterogeneous time preference rates, contracyclical market price of risk, procyclical interest rate, term structure of interest rates, preferred habitat theory, long term risk

Financial Markets Equilibrium with Heterogeneous Agents

Swiss Finance Institute Research Paper No. 09-45
Number of pages: 56 Posted: 10 Dec 2009
California Institute of Technology - Division of the Humanities and Social Sciences, Univ. Paris Dauphine - CEREMADE, Ecole Polytechnique Federale de Lausanne and CNRS and Université Paris-Dauphine
Downloads 296 (99,834)
Citation 8

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equilibrium, heterogeneous agents, volatility, optimal portfolios, survival, yield curve, long yield

2.

Strategic Beliefs

Number of pages: 38 Posted: 10 Dec 2006
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 440 (63,615)

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Beliefs, Strategic, Pessimism, Consensus, Risk-premium, Heterogeneous, Doubt, Overconfidence

3.

Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs

Number of pages: 42 Posted: 15 Jul 2006 Last Revised: 24 Jun 2015
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 384 (74,857)
Citation 45

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Risk premium, beliefs heterogeneity, optimism, pessimism, consensus consumer

4.

Discounting and Divergence of Opinion

Number of pages: 31 Posted: 13 Jul 2007 Last Revised: 23 Jun 2015
Elyes Jouini, Clotilde Napp and Jean-Michel Marin
Univ. Paris Dauphine - CEREMADE, CNRS and Université Paris-Dauphine and I3M
Downloads 291 (102,215)
Citation 8

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5.

Are Risk Averse Agents More Optimistic? A Bayesian Estimation Approach

Number of pages: 18 Posted: 13 Jul 2007
Université Paris Dauphine, Univ. Paris Dauphine - CEREMADE, I3M, CNRS and Université Paris-Dauphine and National Institute of Statistics and Economic Studies (INSEE) - Laboratory of Statistics
Downloads 266 (112,408)
Citation 3

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Bayesian estimation, MCMC scheme, importance sampling, pessimism, risk tolerance, risk aversion, consensus belief

Unbiased Disagreement and the Efficient Market Hypothesis

Number of pages: 28 Posted: 16 Feb 2009
Clotilde Napp and Elyes Jouini
CNRS and Université Paris-Dauphine and Univ. Paris Dauphine - CEREMADE
Downloads 141 (202,320)
Citation 1

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Efficient Market Hypthesis, Disagreement, Irrational Investors, Noisy beliefs, Coutercyclical risk premia

Unbiased Disagreement and the Efficient Market Hypothesis

Number of pages: 43 Posted: 18 Mar 2009
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 117 (234,265)
Citation 1

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disagreement, efficient market hypothesis, momentum, mean-reversion, noisy beliefs, countercyclical risk premium, procyclical interest rates

7.

Heterogeneous Beliefs and Asset Pricing in Discrete Time: An Analysis of Pessimism and Doubt

Journal of Economic Dynamics and Control, Vol. 30, pp. 1233-1260, 2006
Number of pages: 36 Posted: 16 Jul 2006
Clotilde Napp and Elyes Jouini
CNRS and Université Paris-Dauphine and Univ. Paris Dauphine - CEREMADE
Downloads 222 (135,046)
Citation 17

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Is There a Pessimistic Bias in Individual Beliefs? Evidence from a Simple Survey

Number of pages: 21 Posted: 16 Jul 2006
Selima Ben Mansour, Elyes Jouini and Clotilde Napp
Université Paris Dauphine, Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 217 (137,666)
Citation 2

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Pessimism, judged probability, lottery

Is There a Pessimistic Bias in Individual Beliefs? Evidence from a Simple Survey

Theory and Decision, Vol. 61, No. 4, December 2006
Posted: 10 Dec 2006
Selima Ben Mansour, Elyes Jouini and Clotilde Napp
Université Paris Dauphine, Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine

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Pessimism, judged probability, lottery

9.

HéTéRogéNéIté Des Croyances, Prix Du Risque Et Volatilité Des MarchéS

Revue d'Economie Finnacière, Vol. 74, pp. 125-138, 2004
Number of pages: 12 Posted: 16 Jul 2006
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 210 (142,395)

Abstract:

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10.

Law Invariant Risk Measures Have the Fatou Property

Number of pages: 23 Posted: 23 Aug 2007
Elyes Jouini, Walter Schachermayer and Nizar Touzi
Univ. Paris Dauphine - CEREMADE, Universität Wien, Fakultät für Mathematik and Ecole Polytechnique, Paris
Downloads 196 (151,852)
Citation 16

Abstract:

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Fatou property, risk measures

11.

Optimal Risk Sharing for Law Invariant Monetary Utility Functions

Mathematical Finance, Forthcoming
Number of pages: 28 Posted: 19 Jul 2007
Elyes Jouini, Walter Schachermayer and Nizar Touzi
Univ. Paris Dauphine - CEREMADE, Universität Wien, Fakultät für Mathematik and Ecole Polytechnique, Paris
Downloads 193 (154,086)
Citation 17

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12.

On Abel's Concept of Doubt and Pessimism

Number of pages: 20 Posted: 15 Jul 2006
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 193 (154,086)
Citation 3

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Pessimism, optimism, doubt, stochastic dominance, risk premium, market price of risk, riskiness, portfolio dominance, monotone likelihood ratio

13.

Efficient Trading Strategies

Number of pages: 29 Posted: 19 Jul 2007
Elyes Jouini and Vincent Porte
Univ. Paris Dauphine - CEREMADE and Calyon
Downloads 186 (159,304)
Citation 12

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anticomonotonicity, utility maximization, markets with frictions,

14.

Efficient Trading Strategies with Transaction Costs

Number of pages: 6 Posted: 13 Jul 2007
Elyes Jouini and Vincent Porte
Univ. Paris Dauphine - CEREMADE and Calyon
Downloads 167 (175,315)

Abstract:

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cyclic anticomonotonicity, utility maximization, transaction

15.

Arbitrage and Control Problems in Finance. Presentation.

Number of pages: 21 Posted: 15 Aug 2007
Elyes Jouini
Univ. Paris Dauphine - CEREMADE
Downloads 162 (179,860)
Citation 1

Abstract:

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asset pricing, arbitrage, control problems

16.

Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model

Number of pages: 51 Posted: 10 Dec 2006
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 150 (191,922)

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Optimism, risk-aversion, rational expectations, risk-premium, heterogenous beliefs

17.

Market Imperfections, Equilibrium and Arbitrage

Number of pages: 55 Posted: 15 Aug 2007
Elyes Jouini
Univ. Paris Dauphine - CEREMADE
Downloads 149 (193,008)
Citation 3

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Market imperfections, equilibrium, arbitrage

18.

Equilibrium Pricing in Incomplete Markets

Number of pages: 25 Posted: 15 Aug 2007
Elyes Jouini and Abdelhamid Bizid
Univ. Paris Dauphine - CEREMADE and Université Paris I Panthéon-Sorbonne
Downloads 147 (195,108)
Citation 3

Abstract:

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Incomplete Markets, Pricing, discrete time model

19.

Vector-Valued Coherent Risk Measures

Number of pages: 23 Posted: 15 Aug 2007
Elyes Jouini, Moncef Meddeb and Nizar Touzi
Univ. Paris Dauphine - CEREMADE, Université Paris I Panthéon-Sorbonne - Modelisations et Methodes Mathematiques en Economie and Ecole Polytechnique, Paris
Downloads 141 (201,769)
Citation 3

Abstract:

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risk measures, random portofolio

20.

Behavioral Properties of the Representative Agent

Number of pages: 41 Posted: 16 Feb 2009
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 139 (204,119)
Citation 1

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behavioral agent, hyperbolic discounting, probability weighting function, representative agent, neurofinance

21.

On Portfolio Choice with Savoring and Disappointment

Management Science, Forthcoming
Number of pages: 25 Posted: 10 Jul 2013
Elyes Jouini, Paul Karehnke and Clotilde Napp
Univ. Paris Dauphine - CEREMADE, ESCP Europe - Department of Finance and CNRS and Université Paris-Dauphine
Downloads 122 (225,960)
Citation 1

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endogenous beliefs, anticipatory feelings, disappointment, optimism, portfolio choice, skewness, under-diversification

22.
Downloads 103 (255,235)
Citation 1

Cognitive Biases and the Representative Agent

Number of pages: 40 Posted: 12 Mar 2010
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 61 (351,983)
Citation 1

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behavioral agent, hyperbolic discounting, probability weighting function, representative agent, neurofinance, ambiguity aversion

Cognitive Biases and the Representative Agent

Number of pages: 40 Posted: 09 Dec 2009
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 42 (417,137)
Citation 1

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behavioral agent, hyperbolic discounting, probability weighting function, representative agent, neuronance, ambiguity aversion

23.

Production Planning and Inventories Optimization: a Backward Approach in the Convex Storage Cost Case

Number of pages: 36 Posted: 23 Aug 2007
Marie Chazal, Elyes Jouini and Rabah Tahraoui
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Univ. Paris Dauphine - CEREMADE and Université Paris Dauphine - CEREMADE
Downloads 102 (256,927)

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Production planning, inventory management, integro-differential backward

Pricing of Non-Redundant Derivatives in a Complete Market

Number of pages: 34 Posted: 15 Aug 2007
Université Paris I Panthéon-Sorbonne, Univ. Paris Dauphine - CEREMADE and National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Downloads 76 (311,869)

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complete financial market, derivatives assets

Pricing of Non-Redundant Derivatives in a Complete Market

NYU Working Paper No. FIN-99-009
Number of pages: 34 Posted: 07 Nov 2008
Université Paris I Panthéon-Sorbonne, Univ. Paris Dauphine - CEREMADE and CREST-ENSAE
Downloads 22 (516,529)

Abstract:

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25.

Equilibrium Pricing Bounds on Option Prices

Number of pages: 45 Posted: 13 Jul 2007
Marie Chazal and Elyes Jouini
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Univ. Paris Dauphine - CEREMADE
Downloads 97 (265,624)

Abstract:

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Option bounds, equilibrium prices, conic duality, semi-infinite programming

26.

Properties of the Social Discount Rate in a Benthamite Framework with Heterogeneous Degrees of Impatience

Management Science, Vol. 54, No. 10, pp. 1822-1826, 2008
Number of pages: 18 Posted: 12 Jun 2009
Diego Nocetti, Elyes Jouini and Clotilde Napp
Clarkson University, Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 95 (269,241)
Citation 4

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social discount rate, hyperbolic discounting, cost-benefit analysis

27.

Aggregation of Heterogeneous Beliefs

Journal of Mathematical Economics, Vol. 42, No. 6, pp. 752-770, 2006
Number of pages: 26 Posted: 15 Jul 2006 Last Revised: 23 Jun 2015
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 94 (271,035)
Citation 5

Abstract:

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28.
Downloads 93 (272,941)
Citation 1

Optimal Strategic Beliefs

Number of pages: 22 Posted: 18 Mar 2009
Clotilde Napp and Elyes Jouini
CNRS and Université Paris-Dauphine and Univ. Paris Dauphine - CEREMADE
Downloads 59 (357,978)
Citation 1

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beliefs formation, strategic beliefs, optimal beliefs, distorded beliefs

Optimal Strategic Beliefs

Number of pages: 22 Posted: 16 Feb 2009
Clotilde Napp and Elyes Jouini
CNRS and Université Paris-Dauphine and Univ. Paris Dauphine - CEREMADE
Downloads 34 (451,067)
Citation 1

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beliefs formation, strategic beliefs, optimal beliefs, distorded beliefs, pessimism

29.

Unbiased Disagreement in Financial Markets, Waves of Pessimism and the Risk-Return Tradeoff

Number of pages: 34 Posted: 08 Dec 2009
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 87 (284,687)
Citation 3

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30.

Arbitrage and State Price Deflators in a General Intertemporal Framework

Journal of Mathematical Economics, Vol. 41, pp. 722-734, 2005
Number of pages: 18 Posted: 15 Jul 2006 Last Revised: 24 Jun 2015
Univ. Paris Dauphine - CEREMADE, CNRS and Université Paris-Dauphine and Universität Wien, Fakultät für Mathematik
Downloads 85 (288,839)
Citation 1

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31.

Arbitrage Pricing and Equilibrium Pricing: Compatibility Conditions

Number of pages: 47 Posted: 15 Aug 2007
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 82 (295,165)
Citation 1

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Arbitrage, equilibrium, optimality, incomplete markets, nonredudant assets, derivatives pricing

Efficient Trading Strategies in the Presence of Market Frictions

NYU Working Paper No. FIN-99-035
Number of pages: 37 Posted: 07 Nov 2008
Elyes Jouini and Hédi Kallal
Univ. Paris Dauphine - CEREMADE and affiliation not provided to SSRN
Downloads 66 (337,730)
Citation 13

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Efficient Trading Strategies in the Presence of Market Frictions

Review of Financial Studies, Vol. 14, Issue 2
Posted: 08 Mar 2001
Elyes Jouini and Hedi Kallal
Univ. Paris Dauphine - CEREMADE and Salomon Smith Barney, Inc.

Abstract:

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33.

How to Aggregate Experts Discount Rates: An Equilibrium Approach

Number of pages: 19 Posted: 12 Jun 2009 Last Revised: 23 Jun 2015
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 65 (336,297)

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consumption discount rate, equilibrium discount rate, experts discount rate, hyperbolic discounting, cost-benefit analysis, gamma discounting, divergence of opinion

Arbitrage and Viability in Securities Markets With Fixed Trading Costs

Number of pages: 33 Posted: 08 Dec 2009
Elyes Jouini, Hedi Kallal and Clotilde Napp
Univ. Paris Dauphine - CEREMADE, Salomon Smith Barney, Inc. and CNRS and Université Paris-Dauphine
Downloads 28 (480,964)

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arbitrage, fixed costs, absolutely continuous martingale measure, contingent claims pricing, viability

Arbitrage and Viability in Securities Markets with Fixed Trading Costs

NYU Working Paper No. S-MF-99-06
Number of pages: 35 Posted: 12 Nov 2008
Elyes Jouini, Hedi Kallal and Clotilde Napp
Univ. Paris Dauphine - CEREMADE, Salomon Smith Barney, Inc. and CNRS and Université Paris-Dauphine
Downloads 19 (535,501)

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arbitrage - fixed costs, absolutely continuous martin, gale measure, contingent claims pricing, viability

Arbitrage and Viability in Securities Markets with Fixed Trading Costs

NYU Working Paper No. FIN-99-033
Number of pages: 35 Posted: 07 Nov 2008
Elyes Jouini, Hédi Kallal and Clotilde Napp
Univ. Paris Dauphine - CEREMADE, affiliation not provided to SSRN and CNRS and Université Paris-Dauphine
Downloads 18 (541,838)

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arbitrage, fixed costs, absolutely continuous martingale measure, contingent claims pricing, viability

Arbitrage and Viability in Securities Markets with Fixed Trading Costs

Journal of Mathematical Economics, Vol. 35, pp. 197-221, 2001
Posted: 15 Jul 2006
Elyes Jouini, Hedi Kallal and Clotilde Napp
Univ. Paris Dauphine - CEREMADE, Salomon Smith Barney, Inc. and CNRS and Université Paris-Dauphine

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Arbitrage, Fixed costs, Absolutely continuous Martingale measure, Contingent claims pricing

35.

Evolutionary Beliefs in Financial Market

Number of pages: 49 Posted: 09 Feb 2012
Elyes Jouini, Clotilde Napp and Yannick Viossat
Univ. Paris Dauphine - CEREMADE, CNRS and Université Paris-Dauphine and Université Paris Dauphine - CEREMADE
Downloads 61 (347,263)

Abstract:

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heterogeneous beliefs, beliefs formation

36.

Stereotypes, Underconfidence and Decision-Making with an Application to Gender and Math

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 28 Posted: 21 Feb 2018
Elyes Jouini, Paul Karehnke and Clotilde Napp
Univ. Paris Dauphine - CEREMADE, ESCP Europe - Department of Finance and CNRS and Université Paris-Dauphine
Downloads 47 (391,259)

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stereotype, gender gap, self-confidence, subjective ability

37.

Arbitrage with Fixed Costs and Interest Rate Models

Journal of Financial and Quantitative Analysis (JFQA), Vol. 41, No. 4, pp. 889-913
Number of pages: 45 Posted: 15 Jul 2006 Last Revised: 24 Jun 2015
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 47 (391,259)
Citation 1

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Arbitrage, fixed costs, contingent claims pricing, interest rate models, long zero-coupon rates, Dybvig Ingersoll and Ross, Brennan and Schwartz, barrier models

38.

Evolutionary Strategic Beliefs and Financial Markets

Number of pages: 36 Posted: 20 Oct 2011
Elyes Jouini, Clotilde Napp and Yannick Viossat
Univ. Paris Dauphine - CEREMADE, CNRS and Université Paris-Dauphine and Université Paris Dauphine - CEREMADE
Downloads 46 (394,643)
Citation 1

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belief formation, strategic beliefs, optimal beliefs, distorded beliefs, pessimism, risk premium

Arbitrage and Investment Opportunities

NYU Working Paper No. FIN-99-034
Number of pages: 20 Posted: 07 Nov 2008
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 46 (401,882)
Citation 3

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arbitrage, investment opportunities, numeraire, market imperfections, transaction costs, Yan`s theorem

Arbitrage and Investment Opportunities

Finance and Stochastics, Vol. 5, pp. 305-325, 2001
Posted: 15 Jul 2006
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine

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Arbitrage, investment opportunities, numéraire, market frictions

40.

Convergence of Utility Functions and Convergence of Optimal Strategies

Finance and Stochastics, Vol. 7, pp. 491-507, 2003
Number of pages: 11 Posted: 15 Jul 2006 Last Revised: 24 Jun 2015
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 44 (401,713)
Citation 1

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Equilibrium pricing, arbitrage pricing, convergence, incomplete markets

Price Functionals with Bid-Ask Spreads: An Axiomatic Approach

NYU Working Paper No. FIN-99-038
Number of pages: 17 Posted: 11 Nov 2008
Elyes Jouini
Univ. Paris Dauphine - CEREMADE
Downloads 41 (421,075)
Citation 8

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Price Functionals With Bid-Ask Spreads: An Axiomatic Approach

Journal of Mathematical Economics, Vol. 34, pp. 547-558, 2000
Posted: 16 Jul 2006
Elyes Jouini
Univ. Paris Dauphine - CEREMADE

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Price functionals, Bid-ask spreads, No-arbitrage assumption, Market-makers, Contingent claims

42.

Efficient Trading Strategies in Financial Markets with Proportional Transaction Costs

Number of pages: 22 Posted: 13 Feb 2012
Elyes Jouini, Luciano Campi and Vincent Porte
Univ. Paris Dauphine - CEREMADE, London School of Economics & Political Science (LSE) and Calyon
Downloads 39 (420,317)

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cyclic anticomonotonicity utility maximization, proportional transaction cost, duality, utility price

43.

Convergence of the Equilibrium Prices in a Family of Financial Models

Number of pages: 18 Posted: 15 Aug 2007
Elyes Jouini
Univ. Paris Dauphine - CEREMADE
Downloads 39 (420,317)
Citation 1

Abstract:

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equilibrium prices, arbitrage pricing

44.

On Multivariate Prudence

Number of pages: 34 Posted: 21 Oct 2011
Elyes Jouini, Clotilde Napp and Diego Nocetti
Univ. Paris Dauphine - CEREMADE, CNRS and Université Paris-Dauphine and Clarkson University
Downloads 36 (432,457)

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matrix-measure, multivariate prudence, comparative prudence, multivariate downside risk aversion, downside risk aversion, multivariate preferences

45.

A Class of Models Satisfying a Dynamical Version of the CAPM

Economics Lettersm Vol. 79, pp. 299-304, 2003
Number of pages: 9 Posted: 15 Jul 2006 Last Revised: 23 Jun 2015
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 32 (449,208)
Citation 1

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CAPM, CCAPM, market beta, equilibrium, financial markets

46.

Continuous Time Equilibrium Pricing of Nonredundant Assets

NYU Working Paper No. FIN-99-008
Number of pages: 40 Posted: 07 Nov 2008
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 30 (458,462)
Citation 3

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equilibrium, optimality, incomplete markets, nonredundant assets, derivatives pricing

47.

Comonotonic Processes

Insurance: Mathematics and Economics, Vol. 32, pp. 255-265, 2003
Number of pages: 14 Posted: 15 Jul 2006 Last Revised: 24 Jun 2015
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 28 (468,146)

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Comonotonicity, Comonotonic processes, Jump processes, Risk sharing schemes, Pareto optimal allocations

48.
Downloads 27 (473,156)
Citation 2

Optimal Investment with Taxes: An Existence Result

NYU Working Paper No. S-MF-99-05
Number of pages: 16 Posted: 12 Nov 2008
Univ. Paris Dauphine - CEREMADE, CREST-ENSAE and Ecole Polytechnique, Paris
Downloads 14 (567,618)
Citation 2

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optimal investment with taxes, weak compactness, Levy convergence

Optimal Investment with Taxes: An Existence Result

NYU Working Paper No. FIN-99-037
Number of pages: 16 Posted: 11 Nov 2008
Elyes Jouini, Pierre-F. Koehl and Nizar Touzi
Univ. Paris Dauphine - CEREMADE, affiliation not provided to SSRN and Université Paris Dauphine - CEREMADE
Downloads 13 (574,199)
Citation 2

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optimal investment with taxes, weak compactness, Levy convergence

Optimal Investment with Taxes: An Existence Result

Journal of Mathematical Economics, Vol. 33, pp. 373-388, 2000
Posted: 15 Aug 2007
Univ. Paris Dauphine - CEREMADE, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) and Ecole Polytechnique, Paris

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Optimal investment with taxes, Weak compactness, Levy convergence

49.

Gurus and Beliefs Manipulation

Number of pages: 25 Posted: 19 Oct 2011
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 24 (489,248)

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standard agents, investors, gurus’ performances, equilibrium, beliefs heterogeneity, risk aversion, riskier assets

Viability and Equilibrium in Securities Markets with Frictions

NYU Working Paper No. FIN-99-036
Number of pages: 25 Posted: 11 Nov 2008
Elyes Jouini and Hédi Kallal
Univ. Paris Dauphine - CEREMADE and affiliation not provided to SSRN
Downloads 19 (535,501)
Citation 9

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Viability, equilibrium, absence of arbitrage, free lunch, market frictions, convex and sublinear pricing ruler, consistent bid-ask prices, arbitrage bounds, equilibrium bounds

Viability and Equilibrium in Securities Markets with Frictions

Mathematical Finance, Vol. 9, No. 3, pp. 275-292, July 1999
Posted: 16 Aug 2007
Elyes Jouini and Hedi Kallal
Univ. Paris Dauphine - CEREMADE and Salomon Smith Barney, Inc.

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Viability equilibrium absence of arbitrage, free lunch

51.

Existence of Equilibria in Nonconvex Economies without Free Disposal

Economics Letters, Vol. 38, pp. 37-42, 1992
Posted: 30 Jul 2010
Elyes Jouini
Univ. Paris Dauphine - CEREMADE

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equilibrium, nonconvex economy

52.

Martingale and Arbitrage in Securities Markets with Transaction Cost

Journal of Economic Theory, Vol. 66, pp. 178-197, 1995
Posted: 16 Aug 2007
Elyes Jouini and Hedi Kallal
Univ. Paris Dauphine - CEREMADE and Salomon Smith Barney, Inc.

Abstract:

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market , transaction costs

53.

Optimal Investment with Taxes: An Optimal Control Problem with Endogeneous Delay

Nonlinear Analysis, Vol. 37, pp. 31-56, 1999
Posted: 16 Aug 2007
Univ. Paris Dauphine - CEREMADE, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) and Ecole Polytechnique, Paris

Abstract:

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Consumption, investment problems, Deterministic optimal control, Endogenous delay

54.

Generalized Lipschitz Functions

Nonlinear Analysis, Vol. 41, pp. 371-382, 2000
Posted: 16 Aug 2007
Elyes Jouini
Univ. Paris Dauphine - CEREMADE

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Compactness results, Convergence, Generalized Lipschitz functions

55.

A Discrete Stochastic Model for Investment with a Discrete Stochastic Model for Investment with an Application to the Transaction Costs Case

Journal of Mathematical Economics, Vol. 33, pp. 57-80, 2000
Posted: 16 Aug 2007
Laurence Carassus and Elyes Jouini
Université Paris VII Denis Diderot and Univ. Paris Dauphine - CEREMADE

Abstract:

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Stationarity, Arbitrage, Transaction costs, Farkas lemma, Weak-compactness, Fixed point theorem

56.

A Remark on Clarke'S Normal Cone and the Marginal Cost Pricing Rule

Journal of Mathematical Economics, Vol. 18, pp. 95-101, 1989
Posted: 15 Aug 2007
Elyes Jouini
Univ. Paris Dauphine - CEREMADE

Abstract:

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marginal cost, pricing rule

57.

An Index Theorem for Nonconvex Production Economies

Journal of Economic Theory, Vol. 57, pp. 176-196, 1992
Posted: 15 Aug 2007
Elyes Jouini
Univ. Paris Dauphine - CEREMADE

Abstract:

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pricing rule, convex production economy

58.

The Graph of the Walras Correspondence, the Production Economies Case

Journal of Mathematical Economics, Vol. 22, pp. 139-147, 1993
Posted: 15 Aug 2007
Elyes Jouini
Univ. Paris Dauphine - CEREMADE

Abstract:

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production economy, graph of the Walras correspondence

59.

General Equilibrium with Producers and Brokers Existence and Regularity

Economics Letters, Vol. 41, pp. 257-263, 1993
Posted: 15 Aug 2007
Elyes Jouini and Hedi Kallal
Univ. Paris Dauphine - CEREMADE and Salomon Smith Barney, Inc.

Abstract:

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General equilibrium

60.

Incomplete Markets, Transaction Costs and Liquidity Effects

The European Journal of Finance, Vol. 3, pp. 325-347, 1997
Posted: 15 Aug 2007
Univ. Paris Dauphine - CEREMADE, National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE) and Ecole Polytechnique, Paris

Abstract:

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contingent claim, transaction costs, incomplete markets

61.

Investment and Arbitrage Opportunities with Short Sales Constraints

Mathematical Finance, Vol. 8, No. 3, pp. 169-178, 2007
Posted: 15 Aug 2007
Elyes Jouini and Laurence Carassus
Univ. Paris Dauphine - CEREMADE and Université Paris VII Denis Diderot

Abstract:

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Investment, short sales constraint, stationnary, arbitrage, radon measure, Laplace transform.

62.

Production Planning and Inventories Optimization with a General Storage Cost Function

Nonlinear Analysis, Vol. 54, pp. 1365-1395, 2003
Posted: 15 Aug 2007
Marie Chazal, Elyes Jouini and Rabah Tahraoui
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Univ. Paris Dauphine - CEREMADE and Université Paris Dauphine - CEREMADE

Abstract:

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Production planning, Inventory management, Storage costs, Non-convex optimization, Calculus of variations

63.

Incomplete Markets and Short-Sales Constraints: An Equilibrium Approach

International Journal of Theoretical and Applied Finance, Vol. 4, No. 2, pp. 211-243, 2001
Posted: 15 Aug 2007
Abdelhamid Bizid and Elyes Jouini
Université Paris I Panthéon-Sorbonne and Univ. Paris Dauphine - CEREMADE

Abstract:

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Incomplete markets, information modelling, equilibrium, option pricing, short-sales constraints, trees

64.

Conditional Comonotonicity

Decisions in Economics and Finance, Vol. 27, No. 2, pp. 153-166, 2005
Posted: 15 Jul 2006
Elyes Jouini and Clotilde Napp
Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine

Abstract:

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