Working papers

Managing Inequality over Business Cycles: Optimal Policies with Heterogeneous Agents and Aggregate Shocks (with Xavier Ragot). Technical Appendix. June 2019. In revision. [abs] [bib]

Sovereign Default and Liquidity: The Case for a World Safe Asset (with Xavier Ragot). September 2018. In revision. [abs] [bib]

Recursive Preferences and the Value of Life: A Clarification (with Antoine Bommier and Daniel Harenberg). September 2018. [abs] [bib]

Recursive Preferences, the Value of Life, and Household Finance (with Antoine Bommier and Daniel Harenberg). November 2017. In revision. [abs] [bib]

Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions (with Veronika Czellar and René Garcia). August 2017. [abs] [bib]

A Robust Approach to Risk Aversion (with Antoine Bommier). September 2014. [abs] [bib]

Nelson and Siegel, No-Arbitrage and Risk Premium. February 2008. [abs] [bib]

Publications

Penultimate working paper versions of publications are linked.

Defaulting Firms and Systemic Risks in Financial Networks: A Normative Approach (with Nicolas Houy and Frédéric Jouneau-Sion). Forthcoming in Economic Theory. July 2019. [abs] [bib] [pub]

Personalized Oncology with Artificial Intelligence: The Case of Temozolomide (with Nicolas Houy). Forthcoming in Artificial Intelligence in Medicine. July 2019. [abs] [bib] [pub]

Optimizing Treatment Combination for Lymphoma Using an Optimization Heuristic (with Nicolas Houy). Mathematical Biosciences, Vol. 315, September 2019, pp. 108227. [abs] [bib] [pub]

Ambiguity and Endogenous Discounting? (with Antoine Bommier and Asen Kochov). Journal of Mathematical Economics, Vol. 83, August 2019, pp. 48-62. [abs] [bib] [pub]

Perron-Frobenius Theory Recovers More Than What You Might Think: The Example of Limited Participation. Economics Letters, Vol. 174, January 2019, pp. 186-188. [abs] [bib] [pub]

Risk Aversion and Precautionary Savings in Dynamic Settings (with Antoine Bommier). Fortran codes. Management Science, Vol. 65(3), March 2019, pp. 1386-1397. [abs] [bib] [pub]

Optimizing Immune Cell Therapies with Artificial Intelligence (with Nicolas Houy). Journal of Theoretical Biology, Vol. 461, January 2019, pp. 34-40. [abs] [bib] [pub]

Optimal Dynamic Regimens with Artificial Intelligence: The Case of Temozolomide (with Nicolas Houy). PLoS ONE, Vol. 13(6), June 2018, pp. e0199076. [abs] [bib] [pub]

Administration of Temozolomide: Comparison of Conventional and Metronomic Chemotherapy Regimens (with Nicolas Houy). Journal of Theoretical Biology, Vol. 446, June 2018, pp. 71-78. [abs] [bib] [pub]

A Class of Tractable Incomplete-Market Models for Studying Asset Returns and Risk Exposure (with Xavier Ragot). European Economic Review, Vol. 103, April 2018, pp. 39-59. [abs] [bib] [pub]

On Monotone Recursive Preferences (with Antoine Bommier and Asen Kochov). Econometrica, Vol. 85(5), September 2017, pp. 1433-1466. [abs] [bib] [pub]

Existence of Equilibria in Exhaustible Resource Markets with Economies of Scale and Inventories (with Antoine Bommier and Lucas Bretschger). Economic Theory, Vol. 63(3), March 2017, pp. 687-721. [abs] [bib] [pub]

Incomplete Markets and Derivative Assets (with Xavier Ragot). Economic Theory, Vol. 62(3), August 2016, pp. 517-545. [abs] [bib] [pub]

Too Risk Averse to Purchase Insurance? A Theoretical Glance at the Annuity Puzzle (with Antoine Bommier). Journal of Risk and Uncertainty, Vol. 48(2), April 2014, pp. 135-166. [abs] [bib] [pub]

Incomplete Markets, Liquidation Risk and the Term Structure of Interest Rates (with Edouard Challe and Xavier Ragot). Technical Appendix. Journal of Economic Theory, Vol. 148(6), November 2013, pp. 2483-2519. [abs] [bib] [pub]

Comparative Risk Aversion: A Formal Approach with Applications to Saving Behaviors (with Antoine Bommier and Arnold Chassagnon). Journal of Economic Theory, Vol. 147(4), July 2012, pp. 1614-1641. [abs] [bib] [pub]