Positive of Bib-Ask Apreads and Asymmetrical Monotone Risk Aversion
M. Abouda and
Alain Chateauneuf ()
Papiers d'Economie MathÃ©matique et Applications from UniversitÃ© PanthÃ©on-Sorbonne (Paris 1)
A usual argument in finance refers to no arbitrage opportunities for the positivity of the bid-ask spread. Here we follow the decision theory approach and show that if positivity of the bid-ask spread is identified with strong risk aversion for an expended utility market-marker, this is no longer true for a renk-depended expected utility one.
Keywords: RISK; DECISION MAKING; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: D40 D63 D81 G12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:1999.86
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