Tradeoffs for Downside Risk-Averse Decision-Makers and the Self-Protection ...

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Denuit, Michel | 2016-03

International audience. In addition to risk aversion, decision-makers tend to be also downside risk averse. Besides the usual size for risk trade-off, this allows several other trade-offs to be considered. The decis...

L' Équilibre macroéconomique / Louis Eeckhoudt,... et Michel Falise,...

Livre | Eeckhoudt, Louis. Auteur | 1976

Eléments de microéconomie / Louis Eeckhoudt, Francis Calcoen

Livre | Eeckhoudt, Louis. Auteur | 1989

Long-term asset allocation, risk tolerance and market sentiment

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Erdemlioglu, Deniz | 2019-09

International audience. This paper studies optimal equity portfolios with long-term horizon under heterogeneous risk aversion levels. We focus on European stocks and empirically show that contemporaneous excess retu...

Intensity of preferences for bivariate risk apportionment

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Crainich, David | 2020-05

International audience. Bivariate risk apportionment is the preference for dispersing risks associated with two aspects of individuals’ well-being into different states of the world. In this paper, we propose an int...

Self-protection with random costs

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Crainich, David | 2021-05

International audience. We study the consequences of introducing random costs (as opposed to certain costs) on the propensity to implement self-protection actions, i.e. actions reducing the probability of a loss. Ou...

Assessing the Interaction between Real Estate and Equity in Households Port...

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Beaubrun-Diant, Kévin | 2011-10-24

In this paper, we provide a new empirical analysis of the dynamic portfolio decisions of households by simultaneously considering their stock market participation and home tenure choices. There is already a huge body of literature...

Changing risks and optimal effort

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Crainich, David | 2016-05

International audience. Consider a decision maker who can engage in effort to increase the probability of facing a better risky situation. Intuition suggests that effort should increase when there is a greater diffe...

Innovation financière et recherche en finance : le cas des Exchange-Traded ...

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Deville, Laurent | 2019

Exchange Traded Funds (ETFs) are one of the major financial innovations of the last 30 years. Yet, it is only recently that academic research has started to embrace this topic. This paper examines the reasons behind the time lag b...