Unlike the traditional measure of welfare gains from risk-sharing, the new measure presented here does not depend on the horizon, and it is robust to alternative specifications of the consumption stochastic processes and preferences. This measure shows that if international risk-sharing...

We analyze optimal asset allocation in continuous time for a collective of tied-together investors. We rely on a specific collective utility function which dates back to Karatzas (1990), by which the fund manager maximizes the weighted average of expected individual utilities for the investors...

Currently, many monetary and fiscal policy measures are aimed at preventing the financial market meltdown that started in the US subprime sector and has spread worldwide as a great recession. Although some slow recovery appears to be on the horizon, it is worthwhile exploring the fragility and...