@article{Arcand:295857, recid = {295857}, author = {Arcand, Jean-Louis L and Hongler, Max-Olivier}, title = {Dynamic mean preserving spreads}, address = {2017}, number = {ARTICLE}, note = {V1 submitted on 3 Dec 2014}, abstract = {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 Brow- nian 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.}, url = {http://repository.graduateinstitute.ch/record/295857}, }