Properties of Bid and Ask Reservation Prices in the Rank-Dependent Expected Utility Model

Bid and ask reservation prices, posted by market makers on price-driven financial markets, are studied in the framework of the rank-dependent expected utility model. We study the inventory effect and prove that bid (ask) prices are increasing and concave (convex) functions of the quantity to be bought (sold). We analyze general properties of the bid-ask spread and specify them more precisely in the context of the dual theory of Yaari

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Year of publication:	2011
Authors:	Roger, Patrick
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Erwartungsnutzen \| Expected utility \| Theorie \| Theory \| Geld-Brief-Spanne \| Bid-ask spread
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Mathematical Economics, Vol. 34, 2000 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 15, 2000 erstellt Volltext nicht verfügbar
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013118428