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  -