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Positivity of bid-ask spreads and symmetrical monotone risk aversion

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  • Moez Abouda

    ()

  • Alain Chateauneuf

    ()

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File URL: http://hdl.handle.net/10.1023/A:1015560016516
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Bibliographic Info

Article provided by Springer in its journal Theory and Decision.

Volume (Year): 52 (2002)
Issue (Month): 2 (March)
Pages: 149-170

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Handle: RePEc:kap:theord:v:52:y:2002:i:2:p:149-170

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Web page: http://www.springerlink.com/link.asp?id=100341

Related research

Keywords: Bid-ask spread; Hedging; Risk aversion; SMRA;

References

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
  2. Biais, Bruno, 1993. " Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, vol. 48(1), pages 157-85, March.
  3. Chateauneuf, Alain, 1991. "On the use of capacities in modeling uncertainty aversion and risk aversion," Journal of Mathematical Economics, Elsevier, vol. 20(4), pages 343-369.
  4. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, vol. 8(1), pages 31-53, March.
  5. Sarin, Rakesh K & Wakker, Peter, 1992. "A Simple Axiomatization of Nonadditive Expected Utility," Econometrica, Econometric Society, vol. 60(6), pages 1255-72, November.
  6. Patrick Roger & Louis Eeckhoudt, 1994. "Partage des risques et création de valeur ajoutée," Revue économique, Presses de Sciences-Po, vol. 0(1), pages 5-20.
  7. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
  8. Chateauneuf, A. & Cohen, M. & Meilijson, I., 1997. "New Tools to Better Model Behavior Under Risk and UNcertainty: An Oevrview," Papiers d'Economie Mathématique et Applications 97.55, Université Panthéon-Sorbonne (Paris 1).
  9. A. Chateauneuf & R. Kast & A. Lapied, 1996. "Choquet Pricing For Financial Markets With Frictions," Mathematical Finance, Wiley Blackwell, vol. 6(3), pages 323-330.
  10. P. Roger & L. Eeckhoudt, 1999. "Risk Aversion and the Bid-Ask Spread," European Financial Management, European Financial Management Association, vol. 5(3), pages 323-340.
  11. Abouda, M. & Chateauneuf, A., 1999. "A Characterization of the Symmetrical Monotone Risk Aversion in the RDEU Model," Papiers d'Economie Mathématique et Applications 1999.87, Université Panthéon-Sorbonne (Paris 1).
  12. Wakker, Peter, 1990. "Characterizing optimism and pessimism directly through comonotonicity," Journal of Economic Theory, Elsevier, vol. 52(2), pages 453-463, December.
  13. Dow, James & Werlang, Sérgio Ribeiro da Costa, 1991. "Excess Volatility of Stock Prices and Knightian Uncertainty," Economics Working Papers (Ensaios Economicos da EPGE) 179, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  14. Chateauneuf, Alain & Cohen, Michele, 1994. "Risk Seeking with Diminishing Marginal Utility in a Non-expected Utility Model," Journal of Risk and Uncertainty, Springer, vol. 9(1), pages 77-91, July.
  15. Chateauneuf, Alain, 1999. "Comonotonicity axioms and rank-dependent expected utility theory for arbitrary consequences," Journal of Mathematical Economics, Elsevier, vol. 32(1), pages 21-45, August.
  16. Quiggin, John, 1991. " Comparative Statics for Rank-Dependent Expected Utility Theory," Journal of Risk and Uncertainty, Springer, vol. 4(4), pages 339-50, December.
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