Eric Renault

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Staff Working Papers

On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk

Staff Working Paper 2008-16 Fousseni Chabi-Yo, Eric Ghysels, Eric Renault
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.

Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing

Staff Working Paper 2007-47 Fousseni Chabi-Yo, Dietmar Leisen, Eric Renault
Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices.

The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments

Staff Working Paper 2005-2 Fousseni Chabi-Yo, René Garcia, Eric Renault
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.

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