Ecole des HEC-DEEP
Thèse de doctorat en Sciences Economiques mention "économie politique"

Aleksandar GEORGIEV

Three Essays in Financial Economics: Asset Pricing, Optimal Portfolio Selection and Financial Integration

Directeur : Jean-Pierre Danthine
Imprimatur : mai 2006

Abstract
The thesis can be viewed as a pursuit of satisfactory ways to quantify the risk reward trade-off in financial economics in the first part in the context of a general asset pricing model, then across models and finally across country borders. The guiding principle in that pursuit was to seek innovative solutions by combining ideas from different fields in economics and broad scientific research. For example, in the first part of this thesis we sought a fruitful application of strong existence results in utility theory to topics in asset pricing. In the second part we implement an idea from the field of fuzzy set theory to the optimal portfolio selection problem, while the third part of this thesis is to the best of our knowledge, the first empirical application of some general results in asset pricing in incomplete markets to the important topic of measurement of financial integration.