42 citations · 46 across the 13 of their papers we have counts for
4 papers · 1 filter
Cost-efficient Payoffs under Model Ambiguity
Carole Bernard, Gero Junike, Thibaut Lux +1
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In…
Cost-efficiency in Incomplete Markets
Carole Bernard, Stephan Sturm
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment ho…
Optimal Payoffs under State-dependent Preferences
Carole Bernard, Franck Moraux, Ludger Rueschendorf +1
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distributi…
Rationalizing Investors Choice
Carole Bernard, Jit Seng Chen, Steven Vanduffel
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal in…