Details about Elyès Jouini

Access statistics for papers by Elyès Jouini.

Last updated 2009-09-04. Update your information in the RePEc Author Service.

Short-id: pjo50

Working Papers

2008

1. Discounting and Divergence of Opinion
   Working Papers, HAL View citations
2. How to aggregate experts discount rates: an equilibrium approach
   Working Papers, HAL
3. Properties of the Social Discount Rate in a Benthamite Framework with Heterogeneous Degrees of Impatience
   Post-Print, HAL View citations

2007

4. Are More Risk-Averse Agents More Optimistic? Insights from a Simple Rational Expectations Equilibrium Model
   Working Papers, HAL
5. Are Risk Averse Agents More Optimistic? A Bayesian Estimation Approach
   Working Papers, HAL
   Also in Working Papers, HAL (2007)
   See also Journal Article in Journal of Applied Econometrics (2008)
6. Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
   Post-Print, HAL View citations
   Also in Finance, EconWPA (2003) View citations
   Post-Print, HAL (2007) View citations
   See also Journal Article in Review of Economic Studies (2007)
7. Efficient Trading Strategies
   Working Papers, HAL View citations
8. Efficient Trading Strategies with Transaction Costs
   Working Papers, HAL
9. Equilibrium Pricing Bounds on Option Prices
   Working Papers, HAL
10. Optimal Risk Sharing for Law Invariant Monetary Utility Functions
    Working Papers, HAL View citations
    See also Journal Article in Mathematical Finance (2008)
11. Production Planning and Inventories Optimization: A Backward Approach in the Convex Storage Cost Case
    Working Papers, HAL
    Also in GE, Growth, Math methods, EconWPA (2003)
    Working Papers, Centre de Recherche en Economie et Statistique (2003)
    See also Journal Article in Journal of Mathematical Economics (2008)
12. Strategic Beliefs
    Working Papers, HAL

2006

13. Aggregation of Heterogeneous Beliefs
    Post-Print, HAL View citations
    Also in Post-Print, HAL (2006) View citations
    See also Journal Article in Journal of Mathematical Economics (2006)
14. Arbitrage with Fixed Costs and Interest Rate Models
    Post-Print, HAL
    Also in Post-Print, HAL (2006)
    Finance, EconWPA (2003)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2006)
15. Heterogeneous Beliefs and Asset Pricing in Discrete Time
    Post-Print, HAL View citations
16. Heterogeneous Beliefs and Asset Pricing in Discrete Time: An Analysis of Pessimism and Doubt
    Post-Print, HAL View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2006)
17. Is There a Pessimistic Bias in Individual Beliefs? Evidence from a Simple Survey
    Post-Print, HAL View citations
    Also in Post-Print, HAL (2006)
18. Law Invariant Risk Measures Have the Fatou Property
    Post-Print, HAL View citations
19. On Abel's Concept of Doubt and Pessimism
    Working Papers, HAL View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2008)

2005

20. Arbitrage and State Price Deflators in a General Intertemporal Framework
    Post-Print, HAL
    Also in Post-Print, HAL (2005)
    See also Journal Article in Journal of Mathematical Economics (2005)
21. Conditional Comonotonicity
    Post-Print, HAL
    Also in Post-Print, HAL (2004)
    See also Journal Article in Decisions in Economics and Finance (2004)
22. Equilibrium Pricing in Incomplete Markets
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Finance, EconWPA (2003)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2005)

2004

23. Convergence of utility functions and convergence of optimal strategies
    Post-Print, HAL View citations
    Also in Post-Print, HAL (2004) View citations
    See also Journal Article in Finance and Stochastics (2004)
24. Hétérogénéité des croyances, prix du risque et volatilité des marchés
    Post-Print, HAL
25. Vector-valued Coherent Risk Measures
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations
    See also Journal Article in Finance and Stochastics (2004)

2003

26. A class of models satisfying a dynamical version of the CAPM
    Post-Print, HAL
    See also Journal Article in Economics Letters (2003)
27. Comonotonic Processes
    Post-Print, HAL
    See also Journal Article in Insurance: Mathematics and Economics (2003)
28. Convergence of the equilibrium prices in a family of financial models
    Post-Print, HAL
29. Market imperfections, equilibrium and arbitrage
    Finance, EconWPA View citations
    Also in Post-Print, HAL (2003)
30. No-arbitrage and state price deflators in a general continuous time framework
    Finance, EconWPA

2002

31. Arbitrage pricing and equilibrium pricing: compatibility conditions
    Post-Print, HAL

2001

32. Arbitrage and Control Problems in Finance. Presentation
    Post-Print, HAL View citations
    See also Journal Article in Journal of Mathematical Economics (2001)
33. Arbitrage and viability in securities markets with fixed trading costs
    Post-Print, HAL View citations
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- (1999)
    See also Journal Article in Journal of Mathematical Economics (2001)

2000

34. Characterizing the Premium at the Equilinrium of a Reinsurance Market with Short Sale Constraints
    Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1)

1999

35. Arbitrage and Investment Opportunities
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    Also in Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Finance and Stochastics (2001)
36. Continuous Time Equilibrium Pricing of Nonredundant Assets
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    Also in Working Papers, Centre de Recherche en Economie et Statistique
37. Efficient Trading Strategies in the Presence of Market Frictions
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-
    Also in Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Review of Financial Studies (2001)
38. Optimal Investment with Taxes: An Existence Result
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-
    See also Journal Article in Journal of Mathematical Economics (2000)
39. Price Functionals with Bid-Ask Spreads: An Axiomatic Approach
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    Also in Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Journal of Mathematical Economics (2000)
40. Viability and Equilibrium in Securities Markets with Frictions
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations
    Also in Working Papers, Centre de Recherche en Economie et Statistique

1998

41. Pricing of Non-redundant Derivatives in a Complete Market
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-
    Working Papers, Centre de Recherche en Economie et Statistique
42. Un modele discret et stochastique d'investissement avec une application aux couts de transaction
    Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1)
    Also in Working Papers, Centre de Recherche en Economie et Statistique

1997

43. Couts de transaction, contraintes de vente a decouvert et taxes: une approche unifiee
    Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1)
    Also in Working Papers, Centre de Recherche en Economie et Statistique

Undated

44. Arbitrage Pricing of Derivatives with Bounds on the Underlying Securities
    Working Papers, Centre de Recherche en Economie et Statistique
45. Arbitrage and Super-Replication Cost with Convex Constraints
    Working Papers, Centre de Recherche en Economie et Statistique
46. Optimal Investment with Taxes: An Optimal Control Problem with Endogenous Delay
    Working Papers, Centre de Recherche en Economie et Statistique View citations
47. Pricing in Incomplete Markets: An Equilibrium Approach
    Working Papers, Centre de Recherche en Economie et Statistique View citations

Journal Articles

2008

1. Are more risk averse agents more optimistic? Insights from a rational expectations model
   Economics Letters, 2008, 101, (1), 73-76
2. Are risk-averse agents more optimistic? A Bayesian estimation approach
   Journal of Applied Econometrics, 2008, 23, (6), 843-860
   See also Working Paper (2007)
3. OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
   Mathematical Finance, 2008, 18, (2), 269-292 View citations
   See also Working Paper (2007)
4. On Abel's concept of doubt and pessimism
   Journal of Economic Dynamics and Control, 2008, 32, (11), 3682-3694 View citations
   See also Working Paper (2006)
5. Production planning and inventories optimization: A backward approach in the convex storage cost case
   Journal of Mathematical Economics, 2008, 44, (9-10), 997-1023
   See also Working Paper (2007)

2007

6. Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs
   Review of Economic Studies, 2007, 74, (4), 1149-1174 View citations
   See also Working Paper (2007)

2006

7. Aggregation of heterogeneous beliefs
   Journal of Mathematical Economics, 2006, 42, (6), 752-770 View citations
   See also Working Paper (2006)
8. Arbitrage with Fixed Costs and Interest Rate Models
   Journal of Financial and Quantitative Analysis, 2006, 41, (04), 889-913
   See also Working Paper (2006)
9. Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt
   Journal of Economic Dynamics and Control, 2006, 30, (7), 1233-1260 View citations
   See also Working Paper (2006)
10. Is There a “Pessimisticâ€\x9D Bias in Individual Beliefs? Evidence from a Simple Survey
    Theory and Decision, 2006, 61, (4), 345-362

2005

11. Arbitrage and state price deflators in a general intertemporal framework
    Journal of Mathematical Economics, 2005, 41, (6), 722-734
    See also Working Paper (2005)
12. Equilibrium Pricing in Incomplete Markets
    Journal of Financial and Quantitative Analysis, 2005, 40, (04), 833-848
    See also Working Paper (2005)

2004

13. Conditional comonotonicity
    Decisions in Economics and Finance, 2004, 27, (2), 153-166 View citations
    See also Working Paper (2005)
14. Convergence of utility functions and convergence of optimal strategies
    Finance and Stochastics, 2004, 8, (1), 133-144 View citations
    See also Working Paper (2004)
15. Vector-valued coherent risk measures
    Finance and Stochastics, 2004, 8, (4), 531-552 View citations
    See also Working Paper (2004)

2003

16. A class of models satisfying a dynamical version of the CAPM
    Economics Letters, 2003, 79, (3), 299-304
    See also Working Paper (2003)
17. Comonotonic processes
    Insurance: Mathematics and Economics, 2003, 32, (2), 255-265
    See also Working Paper (2003)

2001

18. Arbitrage and control problems in finance: A presentation
    Journal of Mathematical Economics, 2001, 35, (2), 167-183 View citations
    See also Working Paper (2001)
19. Arbitrage and investment opportunities
    Finance and Stochastics, 2001, 5, (3), 305-325 View citations
    See also Working Paper (1999)
20. Arbitrage and viability in securities markets with fixed trading costs
    Journal of Mathematical Economics, 2001, 35, (2), 197-221 View citations
    See also Working Paper (2001)
21. Efficient Trading Strategies in the Presence of Market Frictions
    Review of Financial Studies, 2001, 14, (2), 343-69 View citations
    See also Working Paper (1999)

2000

22. A discrete stochastic model for investment with an application to the transaction costs case
    Journal of Mathematical Economics, 2000, 33, (1), 57-80 View citations
23. Optimal investment with taxes: an existence result
    Journal of Mathematical Economics, 2000, 33, (4), 373-388
    See also Working Paper (1999)
24. Price functionals with bid-ask spreads: an axiomatic approach
    Journal of Mathematical Economics, 2000, 34, (4), 547-558 View citations
    See also Working Paper (1999)

1997

25. Incomplete markets, transaction costs and liquidity effects
    European Journal of Finance, 1997, 3, (4), 325-347 View citations

1996

26. Unicité et stabilité de l'équilibre dans une économie de production avec règle de tarification marginale: les cas convexe et non-convexe
    Annales d'Economie et de Statistique, 1996, (44), 07

1995

27. Martingales and Arbitrage in Securities Markets with Transaction Costs
    Journal of Economic Theory, 1995, 66, (1), 178-197 View citations

1993

28. General equilibrium with producers and brokers: Existence and regularity
    Economics Letters, 1993, 41, (3), 257-263 View citations
29. The graph of the Walras correspondence: The production economies case
    Journal of Mathematical Economics, 1993, 22, (2), 139-147

1992

30. Existence of equilibria in nonconvex economies without free disposal
    Economics Letters, 1992, 38, (1), 37-42 View citations

1989

31. A remark on Clarke's normal cone and the marginal cost pricing rule
    Journal of Mathematical Economics, 1989, 18, (1), 95-101
    Also in Journal of Mathematical Economics, 1988, 17, (2-3), 309-315 (1988) View citations