Samuel Drapeau

CAFR

Shanghai Jiao Tong University

211 West Huaihai Road

Shanghai, 200030

China

http://www.samuel-drapeau.info

SCHOLARLY PAPERS

6

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3

Scholarly Papers (6)

1.

Risk Preferences and their Robust Representation

Number of pages: 49 Posted: 23 Feb 2010 Last Revised: 26 Dec 2010
Michael Kupper and Samuel Drapeau
Vienna Institute of Finance and CAFR
Downloads 496 (57,933)
Citation 11

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Risk Preferences, Risk Measures, Robust Representation

2.

Stochastic Order-Monotone Uncertainty-Averse Preferences

Number of pages: 23 Posted: 04 Mar 2015 Last Revised: 27 Aug 2015
ETH Zurich, Swiss Federal Institute of Technology at Zurich, CAFR and Humboldt University of Berlin - Department of Mathematics
Downloads 219 (143,810)

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Uncertainty-aversion, stochastic orders, Allais paradox, Ellsberg paradox

3.

A Von Neumann-Morgenstern Representation Result Without Weak Continuity Assumption

Number of pages: 14 Posted: 12 Mar 2010 Last Revised: 21 May 2010
Michael Kupper, Freddy Delbaen and Samuel Drapeau
Vienna Institute of Finance, Swiss Federal Institute of Technology at Zurich and CAFR
Downloads 158 (193,016)

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von Neumann and Morgenstern representation, affine preference orders, automatic continuity, first stochastic order

4.

How Rational Are the Option Prices of Hong Kong Dollar Exchange Rate?

Number of pages: 28 Posted: 08 Nov 2019
Samuel Drapeau, Tan Wang and Tao Wang
CAFR, Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF) and Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University
Downloads 34 (462,984)

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Fixed Exchange Rate, Hong Kong Dollar

5.

Conditional Preference Orders and Their Numerical Representations

Number of pages: 18 Posted: 22 Oct 2014 Last Revised: 11 May 2015
Samuel Drapeau and Asgar Jamneshan
CAFR and University of Konstanz
Downloads 29 (486,822)

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Conditional Preferences, Utility Theory, Gap Lemma, von Neumann and Morgenstern

6.

A Fourier Approach to the Computation of Conditional Value-at-Risk and Optimized Certainty Equivalents

Journal of Risk, Vol. 16, No. 6, 2014
Number of pages: 28 Posted: 09 Jun 2016
CAFR, University of Konstanz and Technische Universit├Ąt Berlin (TU Berlin)
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conditional value-at-risk, Fourier approach, optimized certainty equivalents