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 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. AU - Arcand, Jean-Louis L AU - Hongler, Max-Olivier DA - 2017 ID - 295857 L1 - https://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf L1 - https://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf?subformat=pdfa L2 - https://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf L2 - https://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf?subformat=pdfa L4 - https://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf L4 - https://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf?subformat=pdfa LK - https://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf LK - https://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf?subformat=pdfa N1 - V1 submitted on 3 Dec 2014 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 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. PY - 2017 T1 - Dynamic mean preserving spreads TI - Dynamic mean preserving spreads UR - https://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf UR - https://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf?subformat=pdfa Y1 - 2017 ER -