Three essays in financial economics

Diplôme Thèse Three essays in financial economics eng 2015-02-23 author Kousse Kagba Luc Hervé 687994 director Berrada Tony Nicolas 512649 10.13097/archive-ouverte/unige:74229 urn:nbn:ch:unige-742295 GSEM 4 This thesis consists of three essays in financial economics, more precisely in the field of asset pricing and optimal portfolio choice. The first essay studies the asset pricing implications of heterogeneity in preferences coupled with long run risk in a dynamic general equilibrium pure exchange economy. It is concerned with the understanding of how risk sharing among different types of agents affects the assets returns moments in equilibrium and moreover, how these agents reacts dynamically to the long run risk that they perceive. The second and third essay approach the question of optimal portfolio with stochastic opportunity sets. The second essay proposes an approximation methodology for deriving approximate closed form solutions of dynamic optimal portfolio allocation problems. The third essay examines the optimal consumption, portfolio rule and life insurance purchase problem of a wage earner having uncertain lifetime when the market price of risk follows a mean-reverting stochastic process. Asset pricing Dynamic stochastic general equilibrium Stochastic differential utility Dynamic programing HJB equation Heterogeneity Long run risk Dynamic optimal portfolio allocation Stochastic investment opportunity sets Malliavin Calculus Approximation methods Life insurance Riccati Equations Dewey 650 116 Geneva Finance Research Institute S4 false 723 Geneva Finance Research Institute (GFRI) a3798cae-ee83-4a3b-bf1c-50788c4501b4 Thesis Restricted these_depot_kagba_kousse.pdf 5886080 application/pdf 15605f215799149f4d0138c3159119d4f04997eb68b1c32512c445007e0ea4dc restrictedAccess Faculté d'économie et de management / Geneva Finance Research Institute

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Three essays in financial economics				2015	1,168	0

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Kousse, Kagba Luc Hervé