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  -