@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},
}