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
Bayesian estimation, MCMC scheme, importance sampling, pessimism, risk tolerance, risk aversion, consensus belief
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
Pessimism, judged probability, lottery
Fatou property, risk measures
Pessimism, optimism, doubt, stochastic dominance, risk premium, market price of risk, riskiness, portfolio dominance, monotone likelihood ratio
anticomonotonicity, utility maximization, markets with frictions,
cyclic anticomonotonicity, utility maximization, transaction
asset pricing, arbitrage, control problems
Optimism, risk-aversion, rational expectations, risk-premium, heterogenous beliefs
Market imperfections, equilibrium, arbitrage
Incomplete Markets, Pricing, discrete time model
risk measures, random portofolio
behavioral agent, hyperbolic discounting, probability weighting function, representative agent, neurofinance
endogenous beliefs, anticipatory feelings, disappointment, optimism, portfolio choice, skewness, under-diversification
behavioral agent, hyperbolic discounting, probability weighting function, representative agent, neurofinance, ambiguity aversion
behavioral agent, hyperbolic discounting, probability weighting function, representative agent, neuronance, ambiguity aversion
Production planning, inventory management, integro-differential backward
complete financial market, derivatives assets
Option bounds, equilibrium prices, conic duality, semi-infinite programming
social discount rate, hyperbolic discounting, cost-benefit analysis
beliefs formation, strategic beliefs, optimal beliefs, distorded beliefs
beliefs formation, strategic beliefs, optimal beliefs, distorded beliefs, pessimism
Arbitrage, equilibrium, optimality, incomplete markets, nonredudant assets, derivatives pricing
consumption discount rate, equilibrium discount rate, experts discount rate, hyperbolic discounting, cost-benefit analysis, gamma discounting, divergence of opinion
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
heterogeneous beliefs, beliefs formation
stereotype, gender gap, self-confidence, subjective ability
Arbitrage, fixed costs, contingent claims pricing, interest rate models, long zero-coupon rates, Dybvig Ingersoll and Ross, Brennan and Schwartz, barrier models
belief formation, strategic beliefs, optimal beliefs, distorded beliefs, pessimism, risk premium
arbitrage, investment opportunities, numeraire, market imperfections, transaction costs, Yan`s theorem
Arbitrage, investment opportunities, numéraire, market frictions
Equilibrium pricing, arbitrage pricing, convergence, incomplete markets
Price functionals, Bid-ask spreads, No-arbitrage assumption, Market-makers, Contingent claims
cyclic anticomonotonicity utility maximization, proportional transaction cost, duality, utility price
equilibrium prices, arbitrage pricing
matrix-measure, multivariate prudence, comparative prudence, multivariate downside risk aversion, downside risk aversion, multivariate preferences
CAPM, CCAPM, market beta, equilibrium, financial markets
equilibrium, optimality, incomplete markets, nonredundant assets, derivatives pricing
Comonotonicity, Comonotonic processes, Jump processes, Risk sharing schemes, Pareto optimal allocations
optimal investment with taxes, weak compactness, Levy convergence
Optimal investment with taxes, Weak compactness, Levy convergence
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
Viability equilibrium absence of arbitrage, free lunch
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
Investment, short sales constraint, stationnary, arbitrage, radon measure, Laplace transform.
Production planning, Inventory management, Storage costs, Non-convex optimization, Calculus of variations
Incomplete markets, information modelling, equilibrium, option pricing, short-sales constraints, trees
