Two Problems in Financial Economics

企业在期货和期权市场的套期保值交易量中占了相当大的比例，但迄今还没有令人满意的严谨理论来解释企业进行金融套期保值的原因。该项目的贡献来自于发展了一种基于代理成本的企业财务对冲理论。这一理论将对信息、管理层薪酬方案、投资项目选择和公司财务对冲之间的相互关系提供洞察力。该项目还探讨了金融经济学理论的基础。资产定价理论依赖于一个跨期偏好的限制性模型来分析金融动态。具体地说，假设个体的跨期偏好是可加可分的。这位研究人员在他之前的工作中率先使用随机差分效用(SDU)作为连续时间环境下消费过程的偏好模型。该项目进一步阐述了SDU偏好模型，建立了在具有异质代理人的环境下存在市场均衡的条件，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.