Écarts entre prix d'achat et prix de vente d'une variable aléatoire: une clarification
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.
|Date of creation:||01 Jun 2002|
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|Note:||View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-00447148|
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