General equilibrium continuous-time asset pricing in the presence of: (1) Portfolio insurers and (2) non-price-taking investors.

摘要

This dissertation develops continuous-time pure-exchange general equilibrium models of multi-agent economies to address two issues: portfolio insurance and non-price-taking behavior. The primary focus is on comparing equilibrium security prices and their dynamics across economies in which these phenomena are present or absent.; The first part of the dissertation studies a class of dynamic trading strategies implementing portfolio insurance. The general equilibrium analysis reveals that, in order to attain equilibrium in the presence of these portfolio insurers it is necessary to allow the security and market prices to exhibit a predictable jump at the portfolio insurance horizon. The main conclusion of the analysis is that contrary to popular belief, within the class of economies considered, the presence of portfolio insurance decreases market volatility and risk premium. This part of the dissertation further investigates and compares the effects of some of the portfolio insurance trading strategies commonly used in practice.; The second part of the dissertation re-examines the traditional dynamic consumption-portfolio choice problem of an agent, when the agent is no longer an atomistic price-taker but acts as a non-price-taker in the security markets. The non-price-taking behavior is modeled by allowing the non-price-taker's consumption to affect Arrow-Debreu prices. Solving for the equilibrium consumption allocations reveals that the non-price-taking agent deviates from his price-taking behavior by tending to move his consumption towards his endowment stream. The non-price-taker's endowment stream also appears as an extra factor, in addition to the aggregate consumption stream, in explaining the equilibrium interest rate, asset prices, and their volatilities and risk premia. We derive a two-factor consumption-based CAPM, stating that an asset's risk premium depends on the covariance of its return with changes in the non-price-taking agent's endowment stream as well as with changes in the aggregate consumption. Further implications of non-price-taking behavior are derived for the case of all agents' preferences exhibiting constant absolute risk aversion and one risky asset. We here make some use of elements from Malliavin calculus and characterize equilibrium consumption-portfolio allocations and the Arrow-Debreu and market prices and their dynamics. (Abstract shortened by UMI.)