Funded private pillars are well developed in many countries such as the United States, the United Kingdom, Canada, Switzerland and the Netherlands. In France, the development of occupational pension plans has been limited. However, in this country, households tend to increase their personal...

Given a multi-dimensional Markov diffusion X, the Malliavin integration by parts formula provides a family of representations of the conditional expectation E[g(X 2)|X1]. The different representations are determined by some localizing functions. We discuss the problem of variance reduction...

Quelles sont les méthodes de prévision des ventes ? Comment concevoir des systèmes intégrés de prévision ? Comment les évaluer ? A ces questions Régis Bourbonnais et Jean-Claude Usunier apportent des réponses opérationnelles. Après avoir présenté les notions statistiques et...

We consider H expected utility maximizers that have to share a risky aggregate multivariate endowment X∈RN and address the following two questions: does efficient risk-sharing imply restrictions on the form of individual consumptions as a function of X ? Can one identify the individual utility...

This paper proposes a consumption-based model that accounts for term premiums of the nominal term structure of interest rates. The model focuses on ex ante term premiums, which depend on the volatility processes of real consumption and inflation. The contribution of the paper is to derive and...

The global minimum variance portfolio computed using the sample covariance matrix is known to be negatively affected by parameter uncertainty, an important component of model risk. Using a robust approach, we introduce a portfolio rule for investors who wish to invest in the global minimum...

Les marchés de matières premières sont marqués par deux principales tendances : la modification de leur organisation industrielle et leur financiarisation. Mais celles-ci s'intègrent elles-mêmes dans des bouleversements économiques, comme la mondialisation des échanges et la montée des...