We consider a simple continuous-time economy, populated by a largenumber of agents, more risk averse than the log agent, with heterogeneousrisk aversion densely covering an interval. Even though thedividend is a geometric Brownian motion, the equilibrium investmentopportunity set is stochastic...

In all the existing literature on survival in heterogeneous economies,the rate at which an agent vanishes in the long run relative to anotheragent can be characterized by the difference of the so-called survivalindices, where each survival index only depends on the preferencesof the...

We study the exponential utility indierence value h for a contingentclaim H in an incomplete market driven by two Brownian motions.The claim H depends on a nontradable asset variably correlated withthe traded asset available for hedging. We provide an explicit se-quence that converges to h,...

Consider the problem of testing s hypotheses simultaneously. In this paper, we derivemethods which control the generalized familywise error rate given by the probability ofk or more false rejections, abbreviated k-FWER. We derive both single-step and stepdownprocedures that control the k-FWER in...

We study an equilibrium asset pricing model with several Lucas (1978) trees subject toevent risk, that is, the possibility that trees experience unexpected disasters. We exploit themarket clearing mechanism, in the presence of multiple positive net supply assets, to showthat the implications of...

We consider a risky asset whose instantaneous rate of returntakes two dierent values and changes from one to the other one at randomtimes which are neither known, nor directly observable. We study the optimalallocation strategy of traders who, in the presence of cost of transactions, investin...

When a policymaker is better informed than the public, public beliefs about the hidden informationemerge as additional state variables, managed by the policymaker. General methodsare presented to compute optimal commitment and discretion policies.Under commitment, policy is additive in two...

In this paper we give a financial justification, based on non arbitrage conditions,of the (H) hypothesis in default time modelling. We also show how the (H) hypothesis isaffected by an equivalent change of probability measure.[...]

In this paper, we build a bridge between different reduced-form approaches to pricing defaultable claims. In particular, we showhow the well known formulas by Duffie et al. [12] and by Elliott et al.[14] are related. Moreover, in the spirit of Collin Dufresne et al. [8], wepropose a simple...

We propose an empirical approach to determine the various economic sourcesdriving the US yield curve. We allow the conditional dynamics of the yield at differ-ent maturities to change in reaction to past information coming from several relevantpredictor variables. We consider both endogenous,...