Alain Chateauneuf
Datos Biográficos
| ID | 1031373 |
|---|---|
| NOMBRE | Alain Chateauneuf |
| NOMBRES | Alain |
| APELLIDO | Chateauneuf |
| FIRMA | CHATEAUNEUF A |
| AFILIACIONES | Université Paris Cité |
| VERIFICADO | No |
| TOTAL DE OBRAS | 22 |
| TOTAL DE CITAS | 8 |
| TOTAL COMO AUTOR | 22 |
| TOTAL COMO EDITOR | 0 |
| PRIMER AÑO DE PUBLICACIÓN | 1989 |
| AÑO MÁS RECIENTE DE PUBLICACIÓN | 2024 |
| ÍNDICE H | 1 |
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules
When prices of assets traded in a financial market are determined by nonlinear pricing rules, different parities between call and put options have been considered. We show that, under monotonicity, parities between call and put options and discount certificates characterize ambiguity‐sensitive (Choquet and/or Šipoš) pricing rules, that is, pricing rules that can be represented via discounted expectations with respect to non‐additive probability m…
Gain–loss hedging and cumulative prospect theory
Two acts are comonotonic if they co-vary in the same direction. The main purpose of this paper is to derive a new characterization of Cumulative Prospect Theory (CPT) through simple properties involving comonotonicity. The main novelty is a concept dubbed gain–loss hedging: mixing positive and negative acts creates hedging possibilities even when acts are comonotonic. This allows us to clarify in which sense CPT differs from Choquet expected util…
Optimality of deductible
A Simple Characterization of the Hurwicz Criterium under Uncertainty
Schmeidler [1986], [1989] a utilisé son célèbre modèle de probabilité non additive pour décrire l’aversion ou l’attraction d’un décideur pour l’incertain. Cette note montre comment les probabilités non additives peuvent aussi permettre d’obtenir une caractérisation simple du critère de Hurwicz, lorsque le décideur a une attitude intermédiaire vis-à-vis de l’incertitude, entre aversion et attraction totales
General Equilibrium With Uncertainty Loving Preferences
Multidimensional Pigou–Dalton transfers and social evaluation functions
Financial market structures revealed by pricing rules
Increases in risk and demand for a risky asset
Multivariate risk sharing and the derivation of individually rational Pareto optima
Regular updating
Tribute to Jean-Yves Jaffray
The no-trade interval of Dow and Werlang
Precautionary principle as a rule of choice with optimism on windfall gains and pessimism on catastrophic losses
Exact capacities and star-shaped distorted probabilities
Lorenz non-consistent welfare and inequality measurement
Some characterizations of non-additive multi-period models
A Yosida–Hewitt decomposition for totally monotone games
Characterization of symmetrical monotone risk aversion in the RDEU model
Choquet Pricing for Financial Markets With Frictions 1
In markets where dealers play a central role, bid‐ask spreads inhibit asset valuation as defined by the formation cost of a replicating portfolio. We introduce a nonlinear valuation formula similar to the usual expectation with respect to the risk‐adjusted probability measure. This formula expresses the asset's selling and buying prices set by dealers as the Choquet integrals of their random payoffs We investigate several price puzzles: the viola…
Decomposable capacities, distorted probabilities and concave capacities
Market Preferences Revealed by Prices
Some characterizations of lower probabilities and other monotone capacities through the use of Möbius inversion
Some characterizations of lower probabilities and other monotone capacities through the use of Möbius inversion
Market Preferences Revealed by Prices
Choquet Pricing for Financial Markets With Frictions 1
In markets where dealers play a central role, bid‐ask spreads inhibit asset valuation as defined by the formation cost of a replicating portfolio. We introduce a nonlinear valuation formula similar to the usual expectation with respect to the risk‐adjusted probability measure. This formula expresses the asset's selling and buying prices set by dealers as the Choquet integrals of their random payoffs We investigate several price puzzles: the viola…
Decomposable capacities, distorted probabilities and concave capacities
Characterization of symmetrical monotone risk aversion in the RDEU model
Lorenz non-consistent welfare and inequality measurement
Some characterizations of non-additive multi-period models
A Yosida–Hewitt decomposition for totally monotone games
Precautionary principle as a rule of choice with optimism on windfall gains and pessimism on catastrophic losses
Exact capacities and star-shaped distorted probabilities
Regular updating
Tribute to Jean-Yves Jaffray
The no-trade interval of Dow and Werlang
Increases in risk and demand for a risky asset
Multivariate risk sharing and the derivation of individually rational Pareto optima
Multidimensional Pigou–Dalton transfers and social evaluation functions
Financial market structures revealed by pricing rules
General Equilibrium With Uncertainty Loving Preferences
A Simple Characterization of the Hurwicz Criterium under Uncertainty
Schmeidler [1986], [1989] a utilisé son célèbre modèle de probabilité non additive pour décrire l’aversion ou l’attraction d’un décideur pour l’incertain. Cette note montre comment les probabilités non additives peuvent aussi permettre d’obtenir une caractérisation simple du critère de Hurwicz, lorsque le décideur a une attitude intermédiaire vis-à-vis de l’incertitude, entre aversion et attraction totales
Optimality of deductible
Put–Call Parities, absence of arbitrage opportunities, and nonlinear pricing rules
When prices of assets traded in a financial market are determined by nonlinear pricing rules, different parities between call and put options have been considered. We show that, under monotonicity, parities between call and put options and discount certificates characterize ambiguity‐sensitive (Choquet and/or Šipoš) pricing rules, that is, pricing rules that can be represented via discounted expectations with respect to non‐additive probability m…
Gain–loss hedging and cumulative prospect theory
Two acts are comonotonic if they co-vary in the same direction. The main purpose of this paper is to derive a new characterization of Cumulative Prospect Theory (CPT) through simple properties involving comonotonicity. The main novelty is a concept dubbed gain–loss hedging: mixing positive and negative acts creates hedging possibilities even when acts are comonotonic. This allows us to clarify in which sense CPT differs from Choquet expected util…
Mathematics (19 obras) · Economics (18 obras) · Mathematical economics (16 obras) · Computer Science (14 obras) · Econometrics (11 obras) · Decision-Making and Behavioral Economics (10 obras) · Risk and Portfolio Optimization (10 obras) · Economic theories and models (8 obras) · Microeconomics (7 obras) · Simple (philosophy (7 obras)