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Optimal Financial Portfolio and Dependence of Risky Assets.
Dachraoui, K.; Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2000
In this note we analyze the hedging property of an optimal portfolio with one risk-free asset and two risky assets. We … sufficient to set the relative investments in the two risky assets of the portfolio for all concave utility functions. …
Persistent link: https://www.econbiz.de/10005474681
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Investment Under Demand Uncertainty: The Newsboy Problem Revisited.
Dionne, G.; Mounsif, T. - Centre Interuniversitaire de Recherche en Économie … - 1996
In this article we study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product.
Persistent link: https://www.econbiz.de/10005729617
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Investment Under Demand Uncertainty: The Newsboy Poblem Revidited.
Dionne, G.; Mounsif, T. - Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. - 1996
In this article we study the effect of uncertainty on an entrepreneur who must choose the capacity of his business before knowing the demand for his product.
Persistent link: https://www.econbiz.de/10005618874
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Comparative Mixed Risk Aversion.
Dachraoui, K.; Dionne, G.; Eeckhoudt, L.; Godfroid, P. - HEC Montréal (École des Hautes Études Commerciales) - 2000
Recently, Caballi and Pomansky (1996) proposed a formal definition of mixed risk aversion and characterized stochastic … dominance in presence of such utility functions. However they did not study comparative mixed risk aversion. In this note we … give a sufficient condition for analytic comparative mixed risk aversion. …
Persistent link: https://www.econbiz.de/10005775503
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Portfolio Response to a Shift in a Return Distribution: Comment
Dachraoui, K.; Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 1998
In this paper we show how a shift in a return distribution affects the composition of an optimal portfolio in the case of one riskless asset and two risky assets. We obtain that, in general, such a shift modifies the composition of the mutual fund. We also show that the separating conditions...
Persistent link: https://www.econbiz.de/10005775505
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Commitment and Automobile Insurance Regulation in France, Quebec and Japan.
Dionne, G. - HEC Montréal (École des Hautes Études Commerciales) - 2001
selection, whereas bonus-malus (or merit-rating) schemes are introduced because risk categories lack homogeneity or fairness and …
Persistent link: https://www.econbiz.de/10005775506
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Evidence of Adverse Selection in Automobile Insurance Markets
Dionne, G.; Gourieroux, C.; Vanasse, C. - HEC Montréal (École des Hautes Études Commerciales) - 1998
, accident costs, risk aversion and moral hazard. We then discuss an econometric modeling based on latent variables and we derive …
Persistent link: https://www.econbiz.de/10005775509
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Portfolio Response to a Shift in a Return Distribution: Comment
Dachraoui, K.; Dionne, G. - Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. - 1998
In this paper we show how a shift in a return distribution affects the composition of an optimal portfolio in the case of one riskless asset and two risky assets. We obtain that, in general, such a shift modifies the composition of themutual fund. We also show that the separating conditions...
Persistent link: https://www.econbiz.de/10005775621
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Corporate Insurance with Optimal Financial Contracting
Caillaud, B.; Dionne, G.; Jullien, B. - 1996
financing generates a demand for insurance by risk-neutral entrepreneurs. In our model, the entrepreneur needs external … insurance and banking activities are exogenously separated. Finally, we show how are results imply 'induced risk aversion' for … risk-neutral firms and we extend the model to property insurance. …
Persistent link: https://www.econbiz.de/10005780736
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Comparative Statics Under Multiple Sources of Risk with Appllications to Insurance Demand.
Dionne, G.; Gollier, C. - Centre Interuniversitaire de Recherche en Économie … - 1991
Persistent link: https://www.econbiz.de/10005545598