37 publications classées par:
type de publication
: Revue avec comité de lecture
Articles Danthine J.-P. , Kurmann A. (Eds.). (2008). The Macroeconomic Consequences of Reciprocity in Labour Relations.
Danthine J.-P. , Jin X. (Eds.). (2007). Intangible Capital, Firm Valuation and Asset Pricing. 32, 157-177.
Danthine Jean-Pierre, Mougeot Michel ; Brunet Geneviève (Eds.). (2007). La caisse unique n'est pas la potion miracle pour notre système de santé : [interview de Jean-Pierre Danthine et Michel Mougeot]. 37-43. [pdf] [abstract]
La prime d'assurance maladie reste un instrument de régulation intéressant à l'heure où tous les pays tâtonnent pour trouver le meilleur arbitrage entre qualité des soins et montant des dépenses. [Auteur]
Danthine J.-P. , Kurmann A. (Eds.). (2006). Efficiency wages revisited: The internal reference perspective. 90, 278-284. [url] [abstract]
The missing wage rigidity in general equilibrium models of efficiency wages is an artifact of the external wage reference perspective conventionally adopted by the literature. Efficiency wage models based on an internal perspective, in which the wage reference is made dependent on the firm's ability to pay, are capable of generating strong wage rigidity. This paper makes the point in the context of the gift-exchange framework originally proposed by Akerlof .
Danthine J.-P. , Adjaouté K. (Eds.). (2004). Equity Returns and Integration: Is Europe Changing?. 20, 550-570. [url] [abstract]
This paper analyses the consequences of the process of financial and economic integration on European equity markets. It documents significant changes in ?fundamentals?, notably an increased synchronization of macroeconomic activities, and a non-negligible evolution in pricing, with a decrease in the cost of capital and converging equity premiums. As to equity returns themselves, in the face of what could turn out to be long-run upward trends in the correlations among both country and sector returns and a narrowing of the superiority of country factors, the benefits to be gained from finding diversification opportunities at a more disaggregated level appear to be higher than ever.
Danthine J.-P. , Adjaouté K. (Eds.). (2004). Portfolio Diversification: Alive and Well in Euroland. 14, 1225-1231. [abstract]
Diversification opportunities in Euroland appear to have improved significantly since the advent of the euro, thus invalidating the prospects identified in the last years of the convergence-to-EMU period. We identify low frequency movements in the time series of return dispersions suggestive of cycles and long swings in return correlations. The most recent post-euro period is clearly associated with an important upswing with return dispersions exceeding for the first time their peaks of the early nineties.
Danthine J.-P., Donaldson J.B., Giannikos C. ; Guirguis H. (Eds.). (2004). On the Consequences of State Dependent Preferences for the Pricing of Financial Assets. 1, 143-153. [abstract]
This paper introduces state dependent utility into the standard Mehra and Prescott (1985) economy by allowing the representative agent?s coefficient of relative risk aversion to vary with the underlying economy?s growth rate. Existence of equilibrium is proved and its asymptotic properties analyzed. This generalization leads to level dependent marginal rates of substitution, a property that sharply distinguishes this model from the standard construct. For very low coefficients of relative risk aversion, the equilibrium risk free and risky security returns are demonstrated to have volatilities and an associated equity premium that substantially exceed what is found in the data. This provides a contrasting perspective on the classic ?equity premium puzzle.?
Danthine J.-P. , Kurmann A. (Eds.). (2004). Fair Wages in a New Keynesian Model of the Business Cycle. 7, 107-142. [abstract]
We build a New Keynesian model of the business cycle with sticky prices and real wage rigidities motivated by e.ciency wages of the gift exchange variety. Compared to a standard sticky price model, our Fair Wage model provides an explanation for structural employment and generates more plausible labor market dynamics ? notably accounting for the low correlation between wages and employment. The fair wage induced real wage rigidity also significantly reduces the elasticity of marginal cost with respect to output. The smoother dynamics of real marginal cost increase both amplification and persistence of output responses to monetary shocks, thus remedying the well-known lack of internal propagation of standard sticky price models. We take these improvements as a strong endorsement of the addition of real wage rigidities to nominal price rigidities and conclude that the fair wage extension of this paper constitutes a promising platform for an enriched New Keynesian synthesis.
Danthine J.-P. , Donaldson J.B. (Eds.). (2002). A Note on NNS Models: Introducing Physical Capital; Avoiding Rationing. 77, 433-437. [url] [abstract]
This note makes two comments on recent NNS models. First, it disputes the way physical capital has been introduced into these models arguing that this leads to the dubious postulate that the cost of adjusting physical capital stock is an order of magnitude lower than the cost of changing prices. Second it warns against a possible logical inconsistency whereby calibrated NNS models are implicitly assuming that some (price-constrained) firms are willing and able to sell their output below cost.
Danthine J.-P. , Donaldson J.B. (Eds.). (2002). Labor Relations and Asset Returns. 69, 41-64. [url] [abstract]
This paper proposes a dynamic GE model with standard business cycle properties that also achieves a satisfactory replication of the major financial stylized facts. We ride on two major ideas. First, we show that operating leverage, originating in the priority status of wage claims given the observed business cycle characteristics of the latter, magnifies the risk properties of the residual payments to firm owners and justifies a substantial risk premium. Further we build on the observation that the low frequency variations in income shares constitute a significant source of risk, one that is unlikely to be insurable. When we price this risk in an incomplete market framework, we obtain a GE model with return volatilities close to observations and a sizable equity premium. This is accomplished in a world of low risk aversion and standard utility function but with agent heterogeneity. Workers with restricted access to financial markets are insured by firms and the consumption and preferences of firm owners solely determine the pricing kernel.
Danthine J.-P. , Donaldson J.B. (Eds.). (1999). Non Falsified Expectations and Asset Pricing: the Power of the Peso. 109, 607-635. [url] [abstract]
We discuss the extent to which the expectation of a rare event, not present in the usual post-war sample data, "the peso problem" can affect the behaviour of rational agents and the characteristics of market equilibrium. To that end, we describe quantitatively the macroeconomic and financial properties of a standard equilibrium business cycle model, modified to allow for a very small probability of a depression state. We are careful to contrast what would be the stationary probability distribution descriptive of the dynamic rational expectations (RE) equilibrium, from the empirically observed behaviour of the economy under the same RE assumption when the depression does not appear in the sample. The effects of small probability events appear to be especially significant for financial market characteristics. We produce a reasonable model specification, for which both business cycle characteristics and mean financial returns are in accord with US observations. The 6.2% premium is obtained in an economy where agents are only moderately risk averse and where there are no frictions.
Danthine J.-P., Giavazzi F., von Thadden E.-L. ; Vives X. (Eds.). (1999). The Future of European Banking. [url] [abstract]
The European banking industry is in turmoil. The pace of mergers and acquisitions has accelerated and banks that have long been in trouble are disappearing more rapidly. All this happens in 'suspicious' coincidence with the preparations for EMU. Is EMU really driving this acceleration? Where is the industry heading? What risks lie ahead in the transition? The authors of this report analyse why EU financial markets are so segmented. On the supply side - savings behaviour - is the 'home-bias' of European households. On the demand side - the behaviour of firms - one needs to understand why European corporations stay clear of the bond market and typically borrow from banks. The US experience, particularly the transformation of US banks in the past 15 years, illuminate these phenomena, but a clear understanding of the background issues is essential in predicting the changes that EMU will bring about. The major policy implication is related to regulation and bank supervision. Risk in the industry is likely to increase both in the transition and in steady state. European countries come to EMU from very different initial positions as far as banks are concerned. In the steady state a more competitive industry will squeeze margins and raise risk. EMU confronts these changes without a clear strategy in the areas of regulation and prudential supervision. The European Central Bank claims that it will not be involved in those activities, which will remain the responsibility of national governments and national central banks. A coordination problem may arise which will make dealing with crises more difficult and possibly riskier. This CEPR report is a significant and timely addition to what will be a growing debate in the years immediately ahead.' (David Folkerts-Landau, Deutsche Bank)
Danthine J.-P. (Ed.). (1998). A la poursuite du Graal : le successeur d'IS-LM est-il identifié ?. 74, 607-620. [abstract]
The profile of the successor to the IS-LM model starts to emerge; the identifying process and the nature of the objective one is groping for are now relatively clear. With the help of three specific experiments, a few of the likely ingredients of the new neo-classical synthesis are derived. In the end, it appears that only our imperfect knowledge of some key empirical facts keeps us away from a new consensus.
Danthine J.-P. (Ed.). (1998). Comment on "Business Cycle: Theory, Evidence and Policy Implications". 100, 239-242.
Danthine J.-P., Donaldson J.B. ; Johnsen T. (Eds.). (1998). Productivity Growth, Consumer Confidence and the Business Cycle. 42, 1113-1140. [abstract]
The objective of this paper is to provide, in the context of a dynamic general equilibrium model, an answer to the following five questions: 1. To what extent does an economy subject to regular variations in labor productivity growth differ from one where labor productivity is constant? 2.What is the impact on major macro indicators of a one-time change in labor productivity growth? 3. What are the business cycle implications of autonomous (non-falsifiable) changes in growth expectations? 4. What is the potential of such expectation changes for explaining the volatility of consumption to output ratio? 5. Can autonomous changes in growth expectations help us understand recent business cycle episodes?
Danthine J.-P. , Moresi S. (Eds.). (1998). Front-running by Mutual Fund Managers: A Mixed Bag. 2, 29-56. [url] [abstract]
This paper evaluates the welfare implications of front-running by mutual fund managers. It extends the model of Kyle (1985) to a situation in which the insider with fundamentals-information competes against an insider with trade-information and in which noise trading is endogenized. Noise traders are small investors trading through mutual funds to hedge non-tradable or illiquid assets. The insider with trade-information is one of the fund managers. We find that her front-running activity reduces the liquidity costs of her customers, but it also reduces their hedging benefits. As a result, the customers of the front-running manager may be worse off and place smaller orders. The opposite is true, however, for those investors who are not subject to front-running. In aggregate, front-running has either no or positive consequences for welfare.
Danthine J.-P. (Ed.). (1997). In Search of a Successor to IS-LM. 13, 135-144. [url] [abstract]
After discussing the general characteristics that the successor to IS-LM should possess, this article argues that the business cycle research programme initiated by Kydland and Prescott (1992) is beginning to show a promising capacity to incorporate a broad range of modelling features into a logically consistent and theoretically satisfactory framework. This ability and the systematic process of model enrichment it permits make it possible to predict that the dynamic general equilibrium models developed around the neoclassical stochastic growth model-but possibly evolving towards friction-prone non-Walrasian models-will become the platform for a new neoclassical synthesis.
Livres Danthine J.P. , Donaldson J. (Eds.). (2005). Intermediate Financial Theory. Elsevier Academic Press.
Parties de livre Danthine J.-P., Donaldson J.B. ; Siconolfi P. (2008). Distribution Risk and Equity Returns. In 1 (Ed.), The Equity Risk Premium. Elsevier, North Holland, Amsterdam.
Danthine J.-P. (2007). Superneutrality. In 1 (Ed.), The New Palgrave Dictionary of Economics. Palgrave Macmillan.
Danthine J.-P., Adjaouté K. ; Isakov D. (2005). Portfolio Diversification in Europe. In 1 (Ed.), The Internationalisation of Asset Ownership in Europe (pp. 140-172). Cambridge University Press.
Danthine J.-P. , Adjaouté K. (2003). European Financial Integration and Equity Returns: A Theory-Based Assessment. In 1 (Ed.), The Transformation of the European Financial System (pp. 185-245). Gaspar V. Hartmann O. Sleijpen O.
Danthine J.-P. (2001). Banking : Is Bigger Really Better ?. In 1 (Ed.), Financial Intermediation in the 21st Century. Palgrave. [url] [abstract]
On both sides of the Atlantic, the banking industry has been undergoing two decades of spectacular transformations and the consolidation process does not seem to slow down, in Europe in particular, as we enter the 21st century. For academics, sceptical by profession, the trend towards ever bigger banking institutions is puzzling as they do not find in their studies confirmation of the rhetoric adopted by practitioners and consultants to justify their actions or rationalise their strategies. In this note we review arguments and counter-arguments.
Danthine J.-P. , Donaldson J.B. (2001). Macroeconomic Frictions : What have we learned from the Real Business Cycle research programme ?. In 1 (Ed.), Advances in Macroeconomic Theory. Palgrave. [url] [abstract]
One interpretation of the RBC research program is that it was meant to identify and incorporate into dynamic general equilibrium models those market imperfections which are most relevant for macroeconomic theory and policy. This paper reviews the methodological basis for this interpretation. It then discusses the empirical foundations for some of the many frictions that have found their way into RBC models including efficiency wages, labour contracts, nominal price rigidities, limited market participation, imperfect competition and expectational errors. We find that the ?necessity? of these frictions is better established in some cases than in others. While one is lead to the prediction that the ?next neo-classical synthesis? will be a dynamic stochastic general equilibrium with frictions, it is premature to decide which specific friction will necessarily be taken on board.
Danthine J.-P., Giavazzi F. ; von Thadden E.-L. (2001). The Effect of EMU on Financial Markets : A First Assessment. In 1 (Ed.), EMU: Its Impact on Europe and the World. Oxford University Press. [abstract]
This paper reviews the first evidence on the impact of European Monetary Union on European capital markets, one year after the launch of the single currency. Our assessment of this evidence is very favourable. On almost all counts EMU has either changed the European financial landscape already drastically or has the potential to do so in the future. We argue that this is less due to the well-known direct effects of EMU, such as the elimination of intra-European currency risk, than to a number of indirect consequences through feedback mechanisms that seem to have been triggered by EMU.
Rapports Danthine J.-P. , Donaldson J.B. (2008). Executive Compensation and Stock Options: an Inconvenient Truth. CEPR - Centre for Economic Policy Research. [url]
Danthine J.-P. , Kurmann A. (2007). The Business Cycle Implications of reciprocity in Labour Relations. Université Laval, CIRPEE.
Danthine J.-P. , Nilles D. (1997). Conséquences financières pour l'Etat de l'abandon de la couverture privée et semi-privée par les assurés vaudois. Institut Créa de macroéconomie appliquée, UNIL.
Danthine J.-P., Lambelet J.-C., Joly R., Nilles D. ; Tille C. (1992). Le Canton de Vaud est-il en train de perdre sa substance économique ?. Institut Créa de macroéconomie appliquée, UNIL.
Thèses Puopolo G. W., Danthine J.-P. (Dir.) (2009). Essays in equilibrium asset pricing. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
This dissertation consists of three essays in equilibrium asset pricing.
The first chapter studies the asset pricing implications of a general equilibrium model in which real investment is reversible at a cost. Firms face higher costs in contracting than in expanding their capital stock and decide to invest when their productive capital is scarce relative to the overall capital of the economy. Positive shocks to the capital of the firm increase the size of the firm and reduce the value of growth options. As a result, the firm is burdened with more unproductive capital and its value lowers with respect to the accumulated capital. The optimal consumption policy alters the optimal allocation of resources and affects firm's value, generating mean-reverting dynamics for the M/B ratios. The model (1) captures convergence of price-to-book ratios -negative for growth stocks and positive for value stocks - (firm migration), (2) generates deviations from the classic CAPM in line with the cross-sectional variation in expected stock returns and (3) generates a non-monotone relationship between Tobin's q and conditional volatility consistent with the empirical evidence.
The second chapter proposes a standard portfolio-choice problem with transaction costs and mean reversion in expected returns. In the presence of transactions costs, no matter how small, arbitrage activity does not necessarily render equal all riskless rates of return. When two such rates follow stochastic processes, it is not optimal immediately to arbitrage out any discrepancy that arises between them. The reason is that immediate arbitrage would induce a definite expenditure of transactions costs whereas, without arbitrage intervention, there exists some, perhaps sufficient, probability that these two interest rates will come back together without any costs having been incurred. Hence, one can surmise that at equilibrium the financial market will permit the coexistence of two riskless rates that are not equal to each other. For analogous reasons, randomly fluctuating expected rates of return on risky assets will be allowed to differ even after correction for risk, leading to important violations of the Capital Asset Pricing Model. The combination of randomness in expected rates of return and proportional transactions costs is a serious blow to existing frictionless pricing models.
Finally, in the last chapter I propose a two-countries two-goods general equilibrium economy with uncertainty about the fundamentals' growth rates to study the joint behavior of equity volatilities and correlation at the business cycle frequency. I assume that dividend growth rates jump from one state to other, while countries' switches are possibly correlated. The model is solved in closed-form and the analytical expressions for stock prices are reported. When calibrated to the empirical data of United States and United Kingdom, the results show that, given the existing degree of synchronization across these business cycles, the model captures quite well the historical patterns of stock return volatilities. Moreover, I can explain the time behavior of the correlation, but exclusively under the assumption of a global business cycle.
Mertens E., Danthine J.-P. (Dir.) (2007). Three essays on the determinants of output, inflation and interest rates. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
Output, inflation and interest rates are key macroeconomic variables, in particular for monetary policy. In modern macroeconomic models they are driven by random shocks which feed through the economy in various ways. Models differ in the nature of shocks and their transmission mechanisms. This is the common theme underlying the three essays of this thesis. Each essay takes a different perspective on the subject: First, the thesis shows empirically how different shocks lead to different behavior of interest rates over the business cycle. For commonly analyzed shocks (technology and monetary policy errors), the patterns square with standard models. The big unknown are sources of inflation persistence. Then the thesis presents a theory of monetary policy, when the central bank can better observe structural shocks than the public. The public will then seek to infer the bank's extra knowledge from its policy actions and expectation management becomes a key factor of optimal policy. In a simple New Keynesian model, monetary policy becomes more concerned with inflation persistence than otherwise. Finally, the thesis points to the huge uncertainties involved in estimating the responses to structural shocks with permanent effects.
Schmid L., Danthine J.-P. (Dir.) (2007). Financing frictions and the cross section of returns. Université de Lausanne, Faculté des hautes études commerciales.
Georgiev A., Danthine J.-P. (Dir.) (2006). Three essays in financial economics: asset pricing, optimal portfolio selection and financial integration. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
The unifying theme of this thesis is the pursuit of a satisfactory ways to quantify the riskureward trade-off in financial economics. First in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration. While the first two parts of this thesis effectively combine well-known ways to quantify the risk-reward trade-offs the third one can be viewed as an empirical verification of the usefulness of the so-called "good deal bounds" theory in designing risk-sensitive pricing bounds.
Chapter 1 develops a discrete-time asset pricing model, based on a novel ordinally equivalent representation of recursive utility. To the best of our knowledge, we are the first to use a member of a novel class of recursive utility generators to construct a representative agent model to address some long-lasting issues in asset pricing. Applying strong representation results allows us to show that the model features countercyclical risk premia, for both consumption and financial risk, together with low and procyclical risk free rate. As the recursive utility used nests as a special case the well-known time-state separable utility, all results nest the corresponding ones from the standard model and thus shed light on its well-known shortcomings. The empirical investigation to support these theoretical results, however, showed that as long as one resorts to econometric methods based on approximating conditional moments with unconditional ones, it is not possible to distinguish the model we propose from the standard one.
Chapter 2 is a join work with Sergei Sontchik. There we provide theoretical and empirical motivation for aggregation of performance measures. The main idea is that as it makes sense to apply several performance measures ex-post, it also makes sense to base optimal portfolio selection on ex-ante maximization of as many possible performance measures as desired. We thus offer a concrete algorithm for optimal portfolio selection via ex-ante optimization over different horizons of several risk-return trade-offs simultaneously. An empirical application of that algorithm, using seven popular performance measures, suggests that realized returns feature better distributional characteristics relative to those of realized returns from portfolio strategies optimal with respect to single performance measures. When comparing the distributions of realized returns we used two partial risk-reward orderings first and second order stochastic dominance. We first used the Kolmogorov Smirnov test to determine if the two distributions are indeed different, which combined with a visual inspection allowed us to demonstrate that the way we propose to aggregate performance measures leads to portfolio realized returns that first order stochastically dominate the ones that result from optimization only with respect to, for example, Treynor ratio and Jensen's alpha. We checked for second order stochastic dominance via point wise comparison of the so-called absolute Lorenz curve, or the sequence of expected shortfalls for a range of quantiles. As soon as the plot of the absolute Lorenz curve for the aggregated performance measures was above the one corresponding to each individual measure, we were tempted to conclude that the algorithm we propose leads to portfolio returns distribution that second order stochastically dominates virtually all performance measures considered.
Chapter 3 proposes a measure of financial integration, based on recent advances in asset pricing in incomplete markets. Given a base market (a set of traded assets) and an index of another market, we propose to measure financial integration through time by the size of the spread between the pricing bounds of the market index, relative to the base market. The bigger the spread around country index A, viewed from market B, the less integrated markets A and B are. We investigate the presence of structural breaks in the size of the spread for EMU member country indices before and after the introduction of the Euro. We find evidence that both the level and the volatility of our financial integration measure increased after the introduction of the Euro. That counterintuitive result suggests the presence of an inherent weakness in the attempt to measure financial integration independently of economic fundamentals. Nevertheless, the results about the bounds on the risk free rate appear plausible from the view point of existing economic theory about the impact of integration on interest rates.
Kozamernik D., Danthine J.-P. (Dir.) (2006). Employment risk, unemployment insurance and search strategies: a disaggregated equilibrium approach with application to the Swiss labour market in the 1990-ies. Université de Lausanne, Faculté des hautes études commerciales. [abstract]
The Organization of the Thesis
The remainder of the thesis comprises five chapters and a conclusion. The next chapter formalizes the envisioned theory into a tractable model. Section 2.2 presents a formal description of the model economy: the individual heterogeneity, the individual objective, the UI setting, the population dynamics and the equilibrium. The welfare and efficiency criteria for qualifying various equilibrium outcomes are proposed in section 2.3. The fourth section shows how the model-generated information can be computed.
Chapter 3 transposes the model from chapter 2 in conditions that enable its use in the analysis of individual labor market strategies and their implications for the labor market equilibrium. In section 3.2 the Swiss labor market data sets, stylized facts, and the UI system are presented. The third section outlines and motivates the parameterization method. In section 3.4 the model's replication ability is evaluated and some aspects of the parameter choice are discussed. Numerical solution issues can be found in the appendix.
Chapter 4 examines the determinants of search-strategic behavior in the model economy and its implications for the labor market aggregates. In section 4.2, the unemployment duration distribution is examined and related to search strategies. Section 4.3 shows how the search- strategic behavior is influenced by the UI eligibility and section 4.4 how it is determined by individual heterogeneity. The composition effects generated by search strategies in labor market aggregates are examined in section 4.5. The last section evaluates the model's replication of empirical unemployment escape frequencies reported in Sheldon .
Chapter 5 applies the model economy to examine the effects on the labor market equilibrium of shocks to the labor market risk structure, to the deep underlying labor market structure and to the UI setting. Section 5.2 examines the effects of the labor market risk structure on the labor market equilibrium and the labor market strategic behavior. The effects of alterations in the labor market deep economic structural parameters, i.e. individual preferences and production technology, are shown in Section 5.3. Finally, the UI setting impacts on the labor market are studied in Section 5.4. This section also evaluates the role of the UI authority monitoring and the differences in the Way changes in the replacement rate and the UI benefit duration affect the labor market.
In chapter 6 the model economy is applied in counterfactual experiments to assess several aspects of the Swiss labor market movements in the nineties. Section 6.2 examines the two equilibria characterizing the Swiss labor market in the nineties, the " growth" equilibrium with a "moderate" UI regime and the "recession" equilibrium with a more "generous" UI. Section 6.3 evaluates the isolated effects of the structural shocks, while the isolated effects of the UI reforms are analyzed in section 6.4. Particular dimensions of the UI reforms, the duration, replacement rate and the tax rate effects, are studied in section 6.5, while labor market equilibria without benefits are evaluated in section 6.6. In section 6.7 the structural and institutional interactions that may act as unemployment amplifiers are discussed in view of the obtained results. A welfare analysis based on individual welfare in different structural and UI settings is presented in the eighth section. Finally, the results are related to more favorable unemployment trends after 1997.
The conclusion evaluates the features embodied in the model economy with respect to the resulting model dynamics to derive lessons from the model design." The thesis ends by proposing guidelines for future improvements of the model and directions for further research.
Jin X., Danthine J.-P. (Dir.) (2005). Essays on asset pricing and asset allocation. Université de Lausanne, Faculté des hautes études commerciales.
Dauner Gardiol I., Danthine J.-P. (Dir.) (2004). Cash or cows? household saving and portfolio choices in developing countries : a case study of Nicaragua. Université de Lausanne, Faculté des hautes études commerciales.
Ehling P., Danthine J.-P. (Dir.) (2003). Asset Pricing and International Finance. Université de Lausanne, Faculté des hautes études commerciales.