000294127 001__ 294127
000294127 005__ 20250213113307.0
000294127 037__ $$aBOOK
000294127 245__ $$aDynamic mean preserving spreads
000294127 260__ $$a[Lieu de publication non identifié]$$b[éditeur non identifié]$$c2014
000294127 269__ $$a2014
000294127 300__ $$a16 p.
000294127 336__ $$aPapers and Reports
000294127 520__ $$aWe extend the celebrated Rothschild and Stiglitz (1970) definition of Mean Preserving Spreads to scalar diffusion processes. We provide sufficient conditions under which a family of diffusion processes satisfies the dynamic counterparts to the famous Rothschild and Stiglitz integral conditions. We prove that the only Brownian bridge with non-constant drift that displays the Dynamic Mean-Preserving Spread (DMPS) property is given by the ballistic super-diffusive process. We illustrate our results in the context of the cannonical examples of investment under uncertainty and option pricing.
000294127 700__ $$aArcand, Jean-Louis L
000294127 700__ $$aHongler, Max-Olivier
000294127 8564_ $$97b3fbf46-70ef-4807-9e46-9428c86fd3f1$$s270664$$uhttps://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf
000294127 8564_ $$99b0d2d14-17c6-40bf-82e6-3f744cbf978e$$xpdfa$$s1678284$$uhttps://repository.graduateinstitute.ch/record/294127/files/DYNAMICMPS_Arcand2014.pdf?subformat=pdfa
000294127 901__ $$uInternational Economics Department$$0319285
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000294127 937__ $$aWP-2016-048
000294127 980__ $$aINFONET
000294127 980__ $$aWP