TY - GEN AB - We extend the celebrated Rothschild and Stiglitz (1970) definition of Mean Preserving Spreads to scalar diffusion processes. We provide sufficient conditions under which a family of diffusion processes satisfies the dynamic counterparts to the famous Rothschild and Stiglitz integral conditions. We prove that the only Brownian bridge with non-constant drift that displays the Dynamic Mean-Preserving Spread (DMPS) property is given by the ballistic super-diffusive process. We illustrate our results in the context of the cannonical examples of investment under uncertainty and option pricing. AU - Arcand, Jean-Louis L AU - Hongler, Max-Olivier CY - [Lieu de publication non identifié] DA - 2014 DA - 2014 ID - 294127 L1 - https://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf L1 - https://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf?subformat=pdfa L2 - https://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf L2 - https://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf?subformat=pdfa L4 - https://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf L4 - https://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf?subformat=pdfa LK - https://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf LK - https://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf?subformat=pdfa N2 - We extend the celebrated Rothschild and Stiglitz (1970) definition of Mean Preserving Spreads to scalar diffusion processes. We provide sufficient conditions under which a family of diffusion processes satisfies the dynamic counterparts to the famous Rothschild and Stiglitz integral conditions. We prove that the only Brownian bridge with non-constant drift that displays the Dynamic Mean-Preserving Spread (DMPS) property is given by the ballistic super-diffusive process. We illustrate our results in the context of the cannonical examples of investment under uncertainty and option pricing. PB - [éditeur non identifié] PP - [Lieu de publication non identifié] PY - 2014 PY - 2014 T1 - Dynamic mean preserving spreads TI - Dynamic mean preserving spreads UR - https://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf UR - https://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf?subformat=pdfa Y1 - 2014 ER -