Place du Marechal de Lattre de Tassigny
Paris Cedex 16, 75775
France
Univ. Paris Dauphine - CEREMADE
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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
equilibrium, heterogeneous agents, volatility, optimal portfolios, survival, yield curve, long yield
Beliefs, Strategic, Pessimism, Consensus, Risk-premium, Heterogeneous, Doubt, Overconfidence
Risk premium, beliefs heterogeneity, optimism, pessimism, consensus consumer
Efficient Market Hypthesis, Disagreement, Irrational Investors, Noisy beliefs, Coutercyclical risk premia
disagreement, efficient market hypothesis, momentum, mean-reversion, noisy beliefs, countercyclical risk premium, procyclical interest rates
Fatou property, risk measures
Bayesian estimation, MCMC scheme, importance sampling, pessimism, risk tolerance, risk aversion, consensus belief
female underrepresentation in math, stereotypes, gender equality
Pessimism, judged probability, lottery
anticomonotonicity, utility maximization, markets with frictions,
Pessimism, optimism, doubt, stochastic dominance, risk premium, market price of risk, riskiness, portfolio dominance, monotone likelihood ratio
asset pricing, arbitrage, control problems
cyclic anticomonotonicity, utility maximization, transaction
Production planning, inventory management, integro-differential backward
Incomplete Markets, Pricing, discrete time model
Market imperfections, equilibrium, arbitrage
Optimism, risk-aversion, rational expectations, risk-premium, heterogenous beliefs
risk measures, random portofolio
endogenous beliefs, anticipatory feelings, disappointment, optimism, portfolio choice, skewness, under-diversification
behavioral agent, hyperbolic discounting, probability weighting function, representative agent, neurofinance
behavioral agent, hyperbolic discounting, probability weighting function, representative agent, neurofinance, ambiguity aversion
behavioral agent, hyperbolic discounting, probability weighting function, representative agent, neuronance, ambiguity aversion
Asset pricing, fixed income, yield curve, heterogeneous beliefs, production economy
complete financial market, derivatives assets
stereotype, gender gap, self-confidence, subjective ability
beliefs formation, strategic beliefs, optimal beliefs, distorded beliefs
beliefs formation, strategic beliefs, optimal beliefs, distorded beliefs, pessimism
matrix-measure, multivariate prudence, comparative prudence, multivariate downside risk aversion, downside risk aversion, multivariate preferences
cyclic anticomonotonicity utility maximization, proportional transaction cost, duality, utility price
arbitrage, fixed costs, absolutely continuous martingale measure, contingent claims pricing, viability
arbitrage - fixed costs, absolutely continuous martin, gale measure, contingent claims pricing, viability
Arbitrage, Fixed costs, Absolutely continuous Martingale measure, Contingent claims pricing
Arbitrage, equilibrium, optimality, incomplete markets, nonredudant assets, derivatives pricing
social discount rate, hyperbolic discounting, cost-benefit analysis
Option bounds, equilibrium prices, conic duality, semi-infinite programming
heterogeneous beliefs, beliefs formation
consumption discount rate, equilibrium discount rate, experts discount rate, hyperbolic discounting, cost-benefit analysis, gamma discounting, divergence of opinion
arbitrage, investment opportunities, numeraire, market imperfections, transaction costs, Yan`s theorem
Arbitrage, investment opportunities, numéraire, market frictions
belief formation, strategic beliefs, optimal beliefs, distorded beliefs, pessimism, risk premium
optimal investment with taxes, weak compactness, Levy convergence
Optimal investment with taxes, Weak compactness, Levy convergence
heterogeneous beliefs, asymmetric information, manager-shareholders equilibrium.
Price functionals, Bid-ask spreads, No-arbitrage assumption, Market-makers, Contingent claims
Arbitrage, fixed costs, contingent claims pricing, interest rate models, long zero-coupon rates, Dybvig Ingersoll and Ross, Brennan and Schwartz, barrier models
Equilibrium pricing, arbitrage pricing, convergence, incomplete markets
income inequality, societal inequality, culture, gender gap in math, top math performers
equilibrium, optimality, incomplete markets, nonredundant assets, derivatives pricing
equilibrium prices, arbitrage pricing
Comonotonicity, Comonotonic processes, Jump processes, Risk sharing schemes, Pareto optimal allocations
Heterogeneous beliefs, Heterogeneous time preference rates, Continuum of agents, Asset pricing, Market elimination, Surviving agent
CAPM, CCAPM, market beta, equilibrium, financial markets
standard agents, investors, gurus performances, equilibrium, beliefs heterogeneity, risk aversion, riskier assets
Viability, equilibrium, absence of arbitrage, free lunch, market frictions, convex and sublinear pricing ruler, consistent bid-ask prices, arbitrage bounds, equilibrium bounds
equilibrium, nonconvex economy
market , transaction costs
Consumption, investment problems, Deterministic optimal control, Endogenous delay
Compactness results, Convergence, Generalized Lipschitz functions
Stationarity, Arbitrage, Transaction costs, Farkas lemma, Weak-compactness, Fixed point theorem
marginal cost, pricing rule
pricing rule, convex production economy
production economy, graph of the Walras correspondence
General equilibrium
contingent claim, transaction costs, incomplete markets
Production planning, Inventory management, Storage costs, Non-convex optimization, Calculus of variations
Incomplete markets, information modelling, equilibrium, option pricing, short-sales constraints, trees
