For a continuous-time financial market with a single agent, we establish equilibrium pricing formulae under the assumption that the dividends follow an exponential Lévy process. The agent is allowed to consume a lump at the terminal date; before, only flow consumption is allowed. The agent's...

This article shows that the nonstandard approach to stochastic integration with respect to (C^2 functions of) Lévy processes is consistent with the classical theory of pathwise stochastic integration with respect to (C^2 functions of) jump-diffusions with finite-variation jump part.It is proven...

This article investigates the representative-agent hypothesis for an infinite population which has to make a social choice from a given finite-dimensional space of alternatives. It is assumed that some class of admissible strictly concave utility functions is exogenously given and that each...

[This item is a preserved copy. To view the original, visit http://econtheory.org/] What are the equilibrium features of a financial market where a sizeable proportion of traders face reputational concerns? This question is central to our understanding of financial markets, which are...

Investors in financial markets face several restrictions apart from wealth constraints. The first attempt to understand these restrictions in a general competitive equilibrium framework can be traced back to Radner (1972). Here these restrictions are assumed to be given exogenously, as first...

There has been an on-going debate about choices of the most suitable model amongst avariety of model specifications and parameterizations. The first dissertation essay investigateswhether asymmetric leptokurtic return distributions such as Hansen’s (1994) skewed tdistributioncombined with...

There has been an on-going debate about choices of the most suitable model amongst a variety of model specifications and parameterizations. The first dissertation essay investigates whether asymmetric leptokurtic return distributions such as Hansen's (1994) skewed tdistribution combined with...

The main aim of this thesis is the development of locally risk-minimizing hedging strategies for unit-linked life insurance contracts whose unit is modeled in a general Lévy-process financial market. It therefore merges the quite advanced and in recent years developed theory of...

I show that relative levels of aggregate consumption and personal oil consumption provide anexcellent proxy for oil prices, and that high oil prices predict low future aggregate consumptiongrowth. Motivated by these facts, I add an oil consumption good to the long-run risk model of Bansal and...

This thesis examines the performance of different models of conditional betas and higher comoments in the context of the cross-section of expected stock returns, both in-sample and out-of-sample. I first examine the performance of different conditional market beta models by using monthly returns...