The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus probability belief, as well as a consensus consumer, are shown to be valid modulo an aggregation bias, which takes the form of a...

We provide a price characterization of efficient contingent claims - that is, chosen by at least a rational agent - in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling, and borrowing costs. We characterize the inefficiency...

An agent's optimization problem of the expected terminal wealth utility in a trinomial tree economy is solved. At each transaction date, the agent can trade in a riskless asset, a primitive asset subject to constant proportional transaction costs, and a contingent claim characterized by some...

La tendance à transférer les risques sur les particuliers, à les sortir des bilans des établissements financiers pour les diluer, notamment sous forme de fonds de placements collectifs dans les avoirs d'une multitude d'épargnants éparpillés, est une tendance lourde de nos économies. La...

La modélisation et l'analyse des comportements individuels et collectifs vis-à-vis du risque est au coeur des problématiques de recherche de la chaire de la Fondation du Risque " Les particuliers face aux risques : analyse et réponse des marchés " créée grâce au soutien de Groupama....

We study comparative statics of Nth-degree risk increases within a large class of problems that involve bidimensional payoffs and additive or multiplicative risks. We establish necessary and sufficient conditions for unambiguous impact of Nth-degree risk increases on optimal decision making. We...

In this paper, we consider a family of complete or incomplete Financial models such that the price processes of the Financial assets converge in distribution to those in a limit model. Different authors pointed out that we do not have necessarily convergence of the arbitrage pricing intervals in...

Why do investors keep different opinions even though they learn from their own failures and successes? Why do investors keep different opinions even though they observe each other and learn from their relative failures and successes? We analyze beliefs dynamics when beliefs result from a very...