Alexis Direr

• Professor
• University of Orléans

I study the allocation problem of investors who hold their portfolio until reaching a target wealth. The strategy suppresses final wealth uncertainty but creates a time horizon risk. I begin with a classical mean variance model transposed in the duration domain, then study a dynamic portfolio choice problem with Generalized Expected Discounted Util...

This paper studies the optimal scoring of multiple choice tests in which the marks for wrong selections and omissions jointly minimize the mean square difference between score and examinees' abilities. Examinees are loss averse and, as a result, reluctant to risk answers on the basis of their knowledge. I find that it is efficient to incentivize th...

A novel theory of time discounting is proposed in which future consumption is less valuable than present consumption because of waiting costs. Waiting is intermittent as individuals' attention is periodically distracted away from future gratifications. The more individuals expect to pay attention to the reward, the more they are impatient. The mode...

I study the allocation problem of investors who hold their portfolio until a target wealth is attained. The strategy suppresses final wealth uncertainty but creates an investment time horizon risk. I begin with a simple mean variance model transposed in the duration domain, then study a dynamic portfolio choice problem with Generalized Expected Dis...

A focused definition of present bias is proposed which takes preferences as primitives. A present biased individual over-weights immediate costs and benefits relative to those occurring at any point in the future. The definition allows to sort out previous confounds, such as decreasing impatience, choice reversal or short-term impatience. It intuit...

We exploit an administrative data set of a big insurance company to assess the effects on annuity demand of a French regulatory reform which impacted actuarial return to deferred life annuity products. Unlike in previous studies, annuity demand is measured by contributions to savings products that result in capital being converted into annuities at...

Cet article étudie la validité empirique du mécanisme de sécurisation de l’épargne fondé sur le désinvestissement graduel en actifs risqués. Nous comparons ce mécanisme à une politique de constance de la part investie en actifs risqués à partir des données financières de cinq pays, pour des horizons variant de 5 à 30 ans. Nous utilisons différentes...

What Will Be the New Standards for Monetary and Macroprudential Policies? This paper is an account of a panel discussion during the GDRE conference in Nice in June 2015. The theme is the new normal of monetary and macroprudential policy, after a rise of interest rate over the zero lower bound and the end of quantitative easing. Besides the monetary...

This article proposes an equilibrium approach to lottery markets in which a firm designs an optimal lottery to rank-dependent expected utility (RDU) consumers. We show that a finite number of prizes cannot be optimal, unless implausible utility and probability weighting functions are assumed. We then investigate the conditions under which a probabi...

Do investors holding risky financial securities tend to invest in the stock market, buying at the top and selling at the bottom ? Do they reduce their risk exposure with age and especially when approaching retirement? We answer these questions using data on Madelin contracts from a large French insurer over the period 2002 to 2009. Subscribers can...

Do households holding risky financial securities tend to invest in the stock market, buying at the top and selling at the bottom? Do they reduce their risk exposure with age and especially when approaching retirement? We answer these questions using data on retirement savings contracts from a large French insurer over the period 2002 to 2009. Subsc...

Cet article analyse les choix de portefeuille des investisseurs individuels. La base de donnée utilisée comprend un grand nombre d’informations sur les contrats d’assurance vie d’un grand assureur français : la part de l’épargne investie dans le fonds euro, considérée comme sans risque, et celle placée en unités de compte dont le rendement est risq...

This article investigates the degree of e¢ ciency of the European Football online bet-ting market by using odds quoted by 12 bookmakers on 21 European championships over 11 years. We show that systematically picking out odds inferior to a threshold delivers a rate of return of 4.45% if best odds are selected across bookmakers and 2.78% if mean odds...

This paper studies how annuities should be taxed in a Mirrlees-type model in the presence of adverse selection and a positive link between income and longevity. The government is able to address the adverse selection problem by implementing a progressive marginal tax rate on annuities. This amounts to subsidizing small annuities (purchased by low i...

Un produit d’épargne retraite universel a été lancé en France en 2003, le Plan d’Épargne Retraite Populaire (Perp), dont l’objectif est de permettre aux ménages de compléter leur retraite future. À l’aide de données issues d’une large enquête réalisée par TNS-Sofres en 2007, dont un volet porte sur les ménages détenteurs d’un Perp, nous montrons qu...

Un produit d’épargne retraite universel a été lancé en France en 2003, le Plan d’Epargne Retraite Populaire (PERP), dont l’objectif est de permettre aux ménages de compléter leur retraite future. A l'aide de données issues d’une large enquête réalisée par TNS SOFRES en 2007 dont un volet porte sur les ménages détenteurs d’un PERP, les auteurs montr...

Un produit d'�pargne retraite universel a �t� lanc� en France en 2003, le Plan d'Epargne Retraite Populaire (PERP), dont l'objectif est de permettre aux m�nages de compl�ter leur futur retraite. A l'aide de donn�es issues d'une large enqu�te r�alis�e par TNS SOFRES en 2007 dont un volet porte sur les m�nages d�tenteurs d'un PERP, nous montrons que...

This paper adds endogenous screening to Broecker (1990) and shows the possibility of multiple screening equilibria. A high intensity of screening by a bank decreases average quality of firms applying to other banks, which in turn have further incentives to screen. The link between the degree of concentration of the banking industry and the extensio...

[fre] Le plan d’épargne retraite populaire (Perp), mis en place en 2003, occupe une place centrale dans le dispositif d’épargne retraite par capitalisation en France, avec plus de deux millions d’adhérents. Nous étudions son caractère redistributif en calculant le rendement d’un plan d’épargne pour des situations types qui varient en fonction de la...

Annuity contracts typically deliver a stream of income at a predetermined level in order to insure against the risk of longevity. This paper explores whether flexible annuities, which give subscribers the possibility to choose between different levels for their annuities, may be welfare enhancing. In the case where agents gradually discover their a...

A life-cycle consumption model is developed and calibrated using French data. We focus on several assumptions regarding the saving decision which allow the model to display wealth statistics close to the empirical French distribution of wealth. To do so, six income classes are included, which differ by their permanent income, their life expectancy,...

In this paper I analyze how credit is allocated among rms characterized by dierent expected returns when banks can invest in costly information production about loan applicants. It is shown that banks may depart from the socially optimal level of screening by investing too much in information costs. In that case, there always exist a second equilib...

The paper provides new insights about the possibility to explain the existence of lottery games in the RDEU framework. I show that any optimally designed lottery implies concavity for the wealth function and convexity for the weighting function altogether. I also derive a simple formula for calculating the Arrow-Pratt coefficient of relative risk a...

Nous étudions le mode d'allocation des crédits quand les banques se concurrencent en faisant varier leur degré d'expertise des projets soumis. L'article propose une théorie du conformisme des banques en matière d'expertise et contribue à expliquer pourquoi les banques ont généralement été touchées dans leur ensemble par l'accumulation de mauvaises...

An incentive to grant trade credit is shown in two simple frameworks in which the amount lent may be alternatively invested in a riskless asset. In the first one, productive risks of the buyer...

Nous mettons en évidence une incitation des entreprises à financer leur client plutôt qu'acquérir un actif certain. À l'équilibre, l'entreprise bénéficie d'un rendement supérieur via un accroissement de la corrélation des risques de faillite avec son client. Dans un second temps, nous comparons les risques de défaillance de l'entreprise créancière...

The effect of relative consumption on aggregate saving is analyzed in a two-period model. It is assumed that people care about their rank in the consumption distribution at each date. It is shown that individuals concentrate their consumption in the period in which the distribution of consumption is the most egalitarian. As a result, a rise in cons...

We analyze in a two-period model the effect of relative consumption on saving by assuming that people care about their ordinal rank in the consumption distribution at each date. We outline some general properties of the model and then completely solve a simple version. We show that a rise in consumption inequalities implies a negative impact on sav...

The Plan dÉpargne Retraite Populaire (PERP), introduced in 2003, occupies a central position among French funded retirement-savings instruments. We examine its redistributive power by calculating the return on a PERP for standard situations that vary according to socio-occupational category, sex, and marginal tax bracket. We use the concept of inte...

Nous étudions un modèle parcimonieux de consommation et d'investissement des dirigeants de petites et moyennes entreprises en présence de coûts de véri…- cation du résultat. L'investissement d'équilibre est toujours inférieur à celui avec information parfaite et ‡uctue positivement avec l'épargne de l'entrepreneur. Le modèle montre qu'un degré supé...

Abstract La simultanéité de l’achat d’assurances et de jeux de loterie peut s’expliquer par l’existence d’un segment convexe de la fonction d’u- tilité, par une surévaluation des fréquences faibles ou par une valeur intrinséque du risque. Nous évaluons la portée de ces trois explications à partir d’un modèle étendu d’espèrance d’utilité dépendante...

Mémoire de DEA : Macroéconomie / Paris 1 ; session de 1992.