Categoria: wp2008

SUR LE REVENU DE SOLIDARITE ACTIVE

La France devrait instaurer en 2009 un “revenu de solidarité active” (RSA) qui remplacerait plusieurs minima sociaux, allocations ou prestations, en se cumulant avec les revenus du travail suivant un barème dégressif qui évoque les projets d’impôt négatif ou d’allocation universelle.

L’article tente de répondre synthétiquement aux interrogations multiples que soulève cette réforme considérable du système de solidarité national. Après en avoir résumé les antécédents théoriques et la genèse, il développe la triple motivation du RSA – rationalisatrice, incitative et redistributive – et conclut par des propositions concrètes sur ses
modalités de réalisation.

BACKWARD STOCHASTIC PDEs RELATED TO THE UTILITY MAXIMIZATION PROBLEM

We study utility maximization problem for general utility functions using dynamic programming
approach. We consider an incomplete nancial market model, where the dynamics of asset
prices are described by an Rd-valued continuous semimartingale. Under some regularity assumptions we
derive backward stochastic partial di erential equation (BSPDE) related directly to the primal problem
and show that the strategy is optimal if and only if the corresponding wealth process satis es a certain
forward-SDE. As examples the cases of power, exponential and logarithmic utilities are considered.

DYNAMIC ANALYSIS OF THE BEHAVIOURAL PATTERNS OF THELARGEST COMMERCIALBANKS IN THE RUSSIAN FEDERATION

This paper presents a pattern behavio ral analysis of 100 largest Russian commercial
banks by total assets during an eight- year period: from the first quarter of 1999 to the second
quarter of 2007. Bank performance indicators are analyzed. Structural similarities in the
development of the banks are examined.

A cluster analysis is applied to determine banks with a similar structure of operations. This analysis allows to estimate how the structure of the Russianbanking system has been changing over time. In particular, it allows to identify prevailing patterns in the behavior of Russian commercial banks and to analyze the stability of their
position in a particular pattern.

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