000295857 001__ 295857
000295857 005__ 20250213113250.0
000295857 037__ $$aARTICLE
000295857 245__ $$aDynamic mean preserving spreads
000295857 269__ $$a2017
000295857 336__ $$aJournal Articles
000295857 500__ $$aV1 submitted on 3 Dec 2014
000295857 520__ $$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 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.
000295857 580__ $$aIn: arxiv.org.math. - V2(2017), 1412.1384, 16 pages
000295857 700__ $$aArcand, Jean-Louis L
000295857 700__ $$aHongler, Max-Olivier
000295857 8564_ $$97d8f99aa-6789-4f66-9bc7-b18ef87b9db3$$s296551$$uhttps://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf
000295857 8564_ $$9b30d5b16-1945-4ff7-aa45-70b47d269e7d$$xpdfa$$s1632053$$uhttps://repository.graduateinstitute.ch/record/295857/files/1412.1384v1.pdf?subformat=pdfa
000295857 901__ $$uInternational Economics Department$$0319285
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