Clotilde Napp

CNRS and Université Paris-Dauphine

Place de Lattre de Tassigny

Paris, 75775

France

SCHOLARLY PAPERS

35

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CITATIONS
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104

Scholarly Papers (35)

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 (75,793)
Citation 2

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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 (100,444)
Citation 20

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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 (64,026)

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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 (75,321)
Citation 73

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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 (102,842)
Citation 15

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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 (113,120)
Citation 6

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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 (203,502)

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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 (235,620)
Citation 2

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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 (135,811)
Citation 39

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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 (138,464)
Citation 10

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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 (143,210)

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10.

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 (154,999)
Citation 3

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

11.

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 (193,045)

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

12.

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 (205,353)
Citation 4

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

13.

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 (227,296)
Citation 3

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

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 (354,027)

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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 (419,735)

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

15.

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 (270,692)
Citation 6

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social discount rate, hyperbolic discounting, cost-benefit analysis

16.

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 (272,521)
Citation 9

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17.
Downloads 93 (274,495)

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 (360,066)

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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 (453,823)

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

18.

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 (286,266)
Citation 13

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19.

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
Elyes Jouini, Clotilde Napp and Walter Schachermayer
Univ. Paris Dauphine - CEREMADE, CNRS and Université Paris-Dauphine and Universität Wien, Fakultät für Mathematik
Downloads 85 (290,472)
Citation 1

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20.

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 (296,875)
Citation 1

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

21.

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 (338,244)

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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 (483,995)
Citation 4

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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 (539,002)

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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 (545,460)

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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

23.

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 62 (346,424)

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heterogeneous beliefs, beliefs formation

24.

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 49 (386,647)

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stereotype, gender gap, self-confidence, subjective ability

25.

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 (393,552)
Citation 2

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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

26.

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 (397,038)
Citation 3

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

27.
Downloads 46 (397,038)
Citation 3

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 (404,295)
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

28.

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 (404,115)
Citation 1

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Equilibrium pricing, arbitrage pricing, convergence, incomplete markets

29.

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 (435,028)
Citation 1

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

30.

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 (451,959)
Citation 1

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CAPM, CCAPM, market beta, equilibrium, financial markets

31.

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 (461,328)

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

32.

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 (471,028)

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

33.

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 (492,325)

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

34.

Societal Inequalities Amplify Gender Gaps in Math

IZA Discussion Paper No. 12436
Number of pages: 62 Posted: 08 Jul 2019
Thomas Breda, Elyes Jouini and Clotilde Napp
Banque de France, Univ. Paris Dauphine - CEREMADE and CNRS and Université Paris-Dauphine
Downloads 0 (661,445)

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gender gap in math, culture, societal inequality, income inequality, top math performers

35.

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

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