Hedging global environment risks: An option based portfolio insurance

This paper introduces a financial hedging model for global environment risks. Our approach is based on portfolio insurance under hedging constraints. Investors are assumed to maximize their expected utilities defined on financial and environmental asset values. The optimal investment is determined for quite general utility functions and hedging constraints. In particular, our results suggest how to introduce derivative assets written on the environmental asset.utility maximization, hedging, environmental asset, martingale theory

Background levels of heavy metals in surficial sediments of the Gulf of Lions (NW Mediterranean): An approach based on 133Cs normalization and lead isotope measurements

This paper presents an attempt to reach natural background levels of heavy metals in surficial sediments of the Gulf of Lions(NW Mediterranean). To correct for the grain-size effect, normalization procedures based on a clay mineral indicator element are commonly used, after a first grain size separation by sieving. In our study, we tested the applicability of this method with respect to commonly used normalizer elements, and found that stable Cs shows the best ability to reflect the fine sediment fraction. Background levels were successfully reached for Co, Cr, Cu, Ni and Pb, compared to various literature references. Nevertheless, in the case of lead, the normalized data depicted a general enrichment in all samples, and the natural levels could only be reached when concentrations were corrected for the atmospheric contribution by analysing lead isotope ratios. Also for Zn, a general enrichment was found in our samples, although less important

Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations

This paper presents a methodology to determine the preferences of an individual facing risk in the framework of (non)-expected utility theory. When individual preference satisfies a given invariance property, his utility function is solution of a functional equation associated to a specific transformation. Conversely, there exist transformations characterizing any given utility function and its invariance property. More precisely, invariance with respect to two transformations uniquely determines the individual utility function. We provide examples of such transformations for CARA or CRRA utility, but also with any other utility specification and discuss the example of DARA and IRRA specifications.Utility theory; risk aversion, elicitation of preferences.

Prise en compte de l'attitude face au risque dans le cadre de la directive MiFID

La directive européenne MiFID du 1er novembre 2007, mise en application en France par l'AMF, a trouvé récemment (et en particulier depuis la crise financière) de nouveaux éléments de justification. Sa mise en place soulève néanmoins des questions méthodologiques (encore largement sous-estimées) relatives à l'analyse du comportement des investisseurs. Nous nous intéressons ici aux implications de cette directive et proposons un cadre d'analyse pour l'étude des préférences des investisseurs, et pour l'évaluation de leurs implications au niveau de la gestion de portefeuille. En particulier, nous analysons les conséquences d'une mauvaise adéquation portefeuille-client investisseur. Pour ce faire, nous étudions les implications des biais de perception et de prédiction des lois de probabilité des rendements financiers, à la fois dans le cadre de l'utilité espérée et dans celui de l'utilité non-espérée. Enfin, nous proposons une modélisation économétrique opérationnelle des choix des investisseurs basée sur la théorie des modèles de choix discrets

Eliciting Utility for (Non)Expected Utility Preferences Using Invariance Transformations

This paper presents a methodology to determine the preferences of an individual facing risk in the framework of (non)-expected utility theory. When individual preference satisfies a given invariance property, his utility function is solution of a functional equation associated to a specific transformation. Conversely, there exist transformations characterizing any given utility function and its invariance property. More precisely, invariance with respect to two transformations uniquely determines the individual utility function. We provide examples of such transformations for CARA or CRRA utility, but also with any other utility specification and discuss the example of DARA and IRRA specifications

Fate of metals in coastal sediments of a Mediterranean flood-dominated system: An approach based on total and labile fractions

The dynamics of sediment-bound metals (Cs, Cu, Ni, Pb, Ti and Zn) were studied off the Têt River (western Gulf of Lion), a typical Mediterranean coastal river punctuated by short and violent flash-floods. Spatial and temporal sampling strategies were combined to elucidate the fate of these elements in response to both the riverine sediment input and the offshore transport of these sediments through hydrodynamics. Our results show the temporal entrapment of riverborne particles and associated metals, consecutively to a major flood event, in the nearshore sedimentary unit called prodelta. Here, deposition and resuspension mechanisms define a sedimentological cycle that could be followed completely in this study. In terms of speciation between reactive (labile) and residual fractions along the fluvio-deltaic continuum, our results show that Cu, Pb and Zn are the most labile (potentially mobile) metals in the river, in accordance with their contributions from anthropogenic sources. But in the marine surficial sediments, two main behaviours can be discriminated when compared to the riverine suspended particulate matter. While Pb and Zn depict rather a constant labile fraction, Cu is characterized by decreasing levels (up to 50% difference). In terms of environmental impact, these contrasting trends have direct repercussions for the contaminant dispersal in the coastal area. Whereas Pb and Zn conserve their enhanced levels because of their stronger affinity with fine sediments, Cu is marked by the entire loss of its anthropogenic component that is progressively transferred to the dissolved phase, likely mediated by organic ligands. We ascribe these behaviours to different post-depositional partition mechanisms with respect to oxidation of the particulate organic phase at the bottom sediment/water interface. Also, analysis of one sediment core from the prodelta indicates that these early diagenetic processes govern the chemical forms of land-derived contaminants sequestrated in the nearshore sedimentary archives