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...

It is now widely recognized that the increase of greenhouse gases in the atmosphere is due to the consumption of fossil fuels since the beginning of the 20th century. In this context, research on new energies and their development on a large scale is a priority. Hydrogen is a potential candidate...

We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as progressive enlargement of a default-free Brownian filtration, and the dependence of default times is modelled by a conditional...

This paper empirically tests the determinants of derivatives use using a sample of French nonfinancial firms- a relatively under investigated area in the risk management literature. It shows that several factors related to maximizing the firm's value significantly affect the decision to use...

In this paper, we characterize subjective probability beliefs leading to a higher equilibrium market price of risk. We establish that Abel's result on the impact of doubt on the risk premium is not correct in general; see Abel [2002. An exploration of the effects of pessimism and doubt on asset...

Nous présentons et testons diverses mesures courantes de l'inclinaison des investisseurs vis-à-vis des produits risqués : les spreads high yield et émergent, les volatilités implicites sur les marchés boursiers et des changes, la corrélation taux d'intérêt/bourse, et celle entre...

Le thème central de cet ouvrage porte sur l'adéquation des représentations théoriques du comportement décisionnel des agents et sur ses implications pour la pertinence des mesures de la juste valeur des instruments financiers. L'ouvrage vise en premier lieu à mettre en perspective le rôle...

In this paper, we show that behavioral features can be obtained at a group level when the individuals of the group are heterogeneous enough. More precisely, starting from a standard model of Pareto optimal allocations, with expected utility maximizers and exponential dis- counting, but allowing...

In this paper we extend the results on ex-ante agreeable trade of Kajii and Ui [Kajii, A., Ui, T., 2006. Agreeable bets with multiple priors. Journal of Economic Theory 128, 299–305] to the case of non-convex Choquet preferences. We discuss the economic relevance of the main result for the...