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Positive of Bib-Ask Apreads and Asymmetrical Monotone Risk Aversion

Author

Listed:
  • Abouda, M.
  • Chateauneuf, A.

Abstract

A usual argument in finance refers to no arbitrage opportunities for the positivity of the bid-ask spread. Here we follow the decision theory approach and show that if positivity of the bid-ask spread is identified with strong risk aversion for an expended utility market-marker, this is no longer true for a renk-depended expected utility one.

Suggested Citation

  • Abouda, M. & Chateauneuf, A., 1999. "Positive of Bib-Ask Apreads and Asymmetrical Monotone Risk Aversion," Papiers d'Economie Mathématique et Applications 1999.86, Université Panthéon-Sorbonne (Paris 1).
    • Handle: RePEc:fth:pariem:1999.86
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    More about this item

    Keywords

    RISK ; DECISION MAKING ; FINANCIAL MARKET;
    All these keywords.

    JEL classification:

    • D40 - Microeconomics - - Market Structure, Pricing, and Design - - - General
    • D63 - Microeconomics - - Welfare Economics - - - Equity, Justice, Inequality, and Other Normative Criteria and Measurement
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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