IDEAS home Printed from https://ideas.repec.org/a/ris/actuec/v78y2002i2p243-256.html
   My bibliography  Save this article

Écarts entre prix d’achat et prix de vente d’une variable aléatoire : une clarification

Author

Listed:
  • Courtault, Jean-Michel

    (LIBRE)

  • Gayant, Jean-Pascal

    (GAINS)

Abstract

In this paper, we study in the framework of the RDEU model, on one hand the bid-ask spread, and on the other hand the disparity between the buying price and the selling price of a random variable. We show that there is no fundamental difference between the results obtained in the framework of the RDEU model and the results obtained in the framework of the EU model subject to a substitution of the interpretation in term of risk aversion coefficient by an interpretation in term of sensitivity of marginal utility. Dans cet article, nous étudions dans le cadre du modèle RDEU, d’une part la fourchette de liquidité, et, d’autre part la disparité entre le prix d’achat et le prix de vente d’une variable aléatoire. Les résultats que nous mettons en évidence ne diffèrent pas fondamentalement de ceux obtenus dans le cadre du modèle d’Espérance d’Utilité, sous réserve de substituer l’interprétation en terme de coefficient d’aversion pour le risque par une interprétation en terme d’élasticité de l’utilité marginale.

Suggested Citation

  • Courtault, Jean-Michel & Gayant, Jean-Pascal, 2002. "Écarts entre prix d’achat et prix de vente d’une variable aléatoire : une clarification," L'Actualité Economique, Société Canadienne de Science Economique, vol. 78(2), pages 243-256, Juin.
  • Handle: RePEc:ris:actuec:v:78:y:2002:i:2:p:243-256
    as

    Download full text from publisher

    File URL: http://id.erudit.org/iderudit/007252ar
    Download Restriction: no

    Other versions of this item:

    References listed on IDEAS

    as
    1. Yaari, Menahem E, 1987. "The Dual Theory of Choice under Risk," Econometrica, Econometric Society, vol. 55(1), pages 95-115, January.
    2. Jean-Pascal Gayant, 1998. "L'apport des modèles non-additifs en théorie de la décision dans le risque et l'incertain," Revue Française d'Économie, Programme National Persée, vol. 13(1), pages 199-227.
    3. Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
    4. Jean-Marc Tallon, 2014. "Décision dans le risque et l'incertain," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01026078, HAL.
    5. Segal, Uzi & Spivak, Avia, 1990. "First order versus second order risk aversion," Journal of Economic Theory, Elsevier, vol. 51(1), pages 111-125, June.
    6. Courtault, Jean-Michel & Gayant, Jean-Pascal, 1998. "Local risk aversion in the rank dependent expected utility model: First order versus second order effects," Economics Letters, Elsevier, vol. 59(2), pages 207-212, May.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ris:actuec:v:78:y:2002:i:2:p:243-256. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Bruce Shearer). General contact details of provider: http://edirc.repec.org/data/scseeea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.