We derive the general equilibrium of a dynamic financial market in which the investors' opportunity set includes nonredundant forward contracts. We show that Breeden's (1979) consumption‐based CAPM equation for forward contracts contains an extra term relative to that for cash assets. We name...

In a continuous‐time model of a complete information economy, we examine the case of a “pure” speculator who chooses to trade only on forward or futures contracts written on interest‐rate‐sensitive instruments. Assuming logarithmic utility, we assess whether his strategy exhibits the...

European options are priced in a framework à la Black‐Scholes‐Merton, which is extended to incorporate stochastic dividend yield under a stochastic mean–reverting market price of risk. Explicit formulas are obtained for call and put prices and their Greek parameters. Some well‐known...

We derived an intertemporal capital asset pricing model in which the mean‐variance efficiency of the market portfolio is neither a necessary nor a sufficient condition. We obtained this result by modeling a frictionless, continuously open financial market in which nonredundant futures...

We address in this paper the issue of the existence or not of a crowding-out effect of Corporate Social Responsability by government intervention through a lump sum tax. For this purpose, we build a model of impur altruism for firms. We show that in general it will happen to be that public...

The current article aims at studying the e¤ects of taxation on environ- mental quality, in an economy where its agents are responsible. Individual responsibility towards nature is modelized by the voluntary effort to which the households have agreed insofar as the improvement of environmental...

This article derives optimal hedging demands for futures contracts from an investor who cannot freely trade his portfolio of primitive assets in the context of either a CARA or a logarithmic utility function. Existing futures contracts are not numerous enough to complete the market. In addition,...