We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his...

In this work we propose a new multivariate pure jump model. We fully characterize a multivariate Lévy process with finite- and infinite-activity components in positive and negative jumps. This process generalizes the variance gamma process, featuring a 'stochastic volatility' effect due to...

This paper analyzes a general equilibrium exchange economy with a continuum of agents who have "catching up with the Joneses" preferences and differ with respect to the curvature of their utility functions and - as a peculiarity - the impact of news about uncertainty. The dynamic redistribution...