Positive of Bib-Ask Apreads and Asymmetrical Monotone Risk Aversion

M. Abouda and Alain Chateauneuf

Papiers d'Economie Mathématique et Applications from Université Panthéon-Sorbonne (Paris 1)

Abstract: 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)
Pages: 26 pages
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:fth:pariem:1999.86

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