In this paper we study the combination of risky assets in a portfolio in the Rank Dependent Expected Utility model to exhibit the respective influences of probabilistic risk aversion and decreasing marginal utility. We show that the two properties act differently: probabilistic risk avesion...

[fre] Dans cet article, nous tentons de montrer que le modèle d'espérance non-additive d'utilité est une généralisation naturelle du modèle d'espérance d'utilité, tout comme le modèle d'espérance d'utilité fut, en son temps, une généralisation natu- relle du « modèle »...

We consider the standard discrete-time model of a frictionless financial market and show that the law of one price holds if and only if there exists a martingale density process with strictly positive initial value. In contrast to the classical no-arbitrage criteria, this density process may...

In this note, we state a zero-maximum principle for core allocations, a result which was foreseen by Luenberger (1995). We prove a generalization of the first-zero maximum theorem of Luenberger. Roughly said, an allocation is in the core if for every coalition, the sum of individual benefit...

This paper applies the mean field game approach pioneered by Lasry and Lions [2007] to the analysis of researchers? academic productivity. It provides a theoretical motivation for the stability of the universally observed Lotka?s law. It shows that a remuneration scheme taking into account...