In this thesis we explore two recent topics in behavioral finance, namely portfolio optimization by non-expected utility insiders and existence of equilibria in financial markets populated by heterogeneous agents. Firstly, we review a number of theories which have been used to model behavioral...

This article deals with optimal insurance contracts in the framework of imprecise probabilities and adverse selection. Agents differ not only in the objective risk they face but also in the perception of risk. In monopoly, a range of configurations that VNM preferences preclude appears: a...

This work shows how long-term investors can benefit from adding volatility as an asset class to their portfolio. Two types of "structural" exposure – long implied volatility and long volatility risk premium – are now simple to implement. Implied volatility exposure can be used to...

We consider a life-cycle model with bequest motives, and assume that the individual does not know his/hersurvival probability and has maxmin utility preferences; we show that it is optimal not to annuitize but to purchase pure life insurance policies instead.

In the Rothschild and Stiglitz model, assuming differences in risk aversions may lead to unusual equilibrium configurations like multiple equilibria, equilibrium positive profits, or random contracts. We characterize the various types of equilibria and give results on the determinants of the...

This paper investigates the impact of chronic diseases on insurance contracts with adverse selection. We use a bi-dimensional utility function (wealth and health status). We prove that the introduction of chronic diseases influences the equilibrium of insurance market. We characterize conditions...