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

Author

Listed:
  • Jean-Michel Courtault

    (LIBRE)

  • Jean-Pascal Gayant

    (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

  • Jean-Michel Courtault & Jean-Pascal Gayant, 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.
    • Handle: RePEc:ris:actuec:v:78:y:2002:i:2:p:243-256
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    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," Post-Print halshs-01026078, HAL.
    5. 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.
    6. Segal, Uzi & Spivak, Avia, 1990. "First order versus second order risk aversion," Journal of Economic Theory, Elsevier, vol. 51(1), pages 111-125, June.
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