Two Problems in Financial Economics

金融经济学的两个问题

• 批准号: 9010062
• 负责人: Darrell Duffie
• 金额: $ 7.55万
• 依托单位: Stanford University
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 1990
• 资助国家: 美国
• 起止时间: 1990-09-01 至 1993-08-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=9010062&HistoricalAwards=false
• 关键词: Two; Problems; Financial; Economics

Corporations are responsible for a significant fraction of hedging volume on futures and options markets, but there is as yet no satisfactory rigorous theory that explains why financial hedging by corporations takes place. The contribution from this project comes from developing a theory of corporate financial hedging based on agency costs. This theory will provide insights into the interrelations between information, managerial compensation schemes, the selection of investment projects, and corporate financial hedging. The project also addresses the foundations of financial economic theory. Asset pricing theory depends on a restrictive model of intertemporal preferences for the analysis of financial dynamics. Specifically, individual intertemporal preferences are assumed to be additively separable. The investigator pioneered in his previous work the use of Stochastic Differential Utility (SDU) as a model of preferences for consumption processes in a continuous- time setting. This project provides further elaboration of the SDU preference model, the establishment of conditions for the existence of market equilibrium in settings with heterogeneous agents, and applications to asset pricing theory.

公司负责很大一部分对冲 期货和期权市场的交易量，但目前还没有 令人满意的严谨理论，解释了为什么金融对冲 公司的事情发生了。 该项目的贡献 来自于发展一种公司金融对冲理论， 代理成本。 这一理论将提供洞察力， 信息、管理者薪酬、 计划，投资项目的选择，以及企业 金融对冲 该项目还涉及金融经济的基础 理论 资产定价理论依赖于一个 金融动态分析的跨期偏好。 具体而言，个人跨期偏好被假定为 是可加可分的。 这位调查员开创了 以前的工作使用随机微分效用（SDU）作为 消费过程的偏好模型， 时间设定 本项目进一步阐述了特别职务队 偏好模型，建立存在条件 市场均衡的设置与异质代理人，和 资产定价理论的应用。