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 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 an environment where interest rates are stochastic, we examine the case of a "pure" hedger endowed with a fixed position in a long term bond. In contrast to conventional wisdom according to which the difference between hedging through forward contracts and futures is immaterial, it turns out...

We solve for the equilibrium of a stochastic neo-classical continuous time model without and with money under model ambiguity. We show that: (i) the correction for ambiguity stemming from the money supply is nil at equilibrium; (ii) money is neutral with respect to the stock market equilibrium...

Within an agency theoretic framework adapted to the portfolio delegation issue, we show how to construct optimal benchmarks. In accordance with US regulations, the benchmark-adjusted compensation scheme is taken to be symmetric. The investor’s control consists in forcing the manager to adopt...

Introducing uncertainty in the Reis's [Reis, R., 2007, The analytics of monetary non-neutrality in the Sidrauski model, Economics Letters 94 (1), 129-135] version of the Sidrauski model leads to a monetary policy that is not super-neutral even though money and consumption are separable in the...