Two Problems in Financial Economics

在期货和期权市场上，公司承担了很大一部分对冲交易量，但目前还没有令人满意的严谨理论来解释为什么公司会进行金融对冲。这个项目的贡献来自于发展了一个基于代理成本的企业财务对冲理论。这一理论将为信息、管理薪酬方案、投资项目选择和企业财务对冲之间的相互关系提供见解。该项目还涉及金融经济理论的基础。资产定价理论依赖于对金融动态分析的跨期偏好的限制性模型。具体来说，假设个体跨期偏好是可加可分的。研究者在他以前的工作中率先使用随机微分效用（SDU）作为连续时间设置中消费过程偏好的模型。本项目进一步阐述了SDU偏好模型，建立了异质代理环境下市场均衡存在的条件，并将其应用于资产定价理论。

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.