Imperial College London

Professor Franklin Allen

Business School

Executive Director of the Brevan Howard Centre
 
 
 
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Contact

 

+44 (0)20 7594 9195f.allen Website CV

 
 
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Location

 

2.05B52-53 Prince's GateSouth Kensington Campus

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Summary

 

Publications

Publication Type
Year
to

101 results found

ALLEN F, 1993, ESTIMATING DIVISIONAL COST OF CAPITAL FOR INSURANCE COMPANIES, Symposium on Life Insurance Company Financial Management, Publisher: KLUWER ACADEMIC PUBLISHERS, Pages: 101-123

Conference paper

Allen F, Gale D, 1992, Measurement distortion and missing contingencies in optimal contracts, Economic Theory, Vol: 2, Pages: 1-26, ISSN: 0938-2259

Theory suggests that optimal contracts should include many contingencies to achieve optimal risk sharing. However, in practice, few contracts are as complex as theory suggests. This paper develops a model which is consistent with this observation. The lack of risk sharing results from the interplay of two factors. First, contingencies must be based on information produced by measurement systems, which may be manipulable. Second, when two parties to a contract meet, they often have incomplete information. The type of contract offered may reveal information about the party who proposes it. Different types of agents have different preferences over contingent contracts, because they have different abilities to manipulate the measurement system. These differences in preferences allow the parties to signal their types through the contracts they offer. Noncontingent contracts may be chosen in equilibrium because they are the only contracts which do not give any type an incentive to distort the measurement system and, hence, do not reveal information about the party proposing the contract. © 1992 Springer-Verlag.

Journal article

ALLEN F, GALE D, 1992, STOCK-PRICE MANIPULATION, REVIEW OF FINANCIAL STUDIES, Vol: 5, Pages: 503-529, ISSN: 0893-9454

Journal article

ALLEN F, GALE D, 1991, ARBITRAGE, SHORT SALES, AND FINANCIAL INNOVATION, ECONOMETRICA, Vol: 59, Pages: 1041-1068, ISSN: 0012-9682

Journal article

Allen F, Gale D, 1990, Incomplete markets and incentives to set up an options exchange, The Geneva Papers on Risk and Insurance Theory, Vol: 15, Pages: 17-46, ISSN: 0926-4957

Traditional analyses with incomplete markets take the securities that are traded as exogenous. In this paper we endogenize the market structure by considering incentives to introduce (costly) options exchanges which issue derivative securities. The method of financing the exchange is critical in determining whether the market structure is socially efficient. If the exchange can charge fees to all agents and make every agent's participation a necessary condition for establishing the exchange then the market structure chosen in equilibrium is efficient. However, if either of these conditions is not satisfied then an inefficient market structure may be chosen. © 1990 Kluwer Academic Publishers.

Journal article

ALLEN F, 1990, FINANCIAL-MARKETS AND INCOMPLETE INFORMATION - FRONTIERS OF MODERN FINANCIAL THEORY, VOL 2 - BHATTACHARYA,S, CONSTANTINIDES,GM, REVIEW OF FINANCIAL STUDIES, Vol: 3, Pages: 309-313, ISSN: 0893-9454

Journal article

Allen F, Gale D, 1988, Optimal Security Design, REVIEW OF FINANCIAL STUDIES, Vol: 1, Pages: 229-263, ISSN: 0893-9454

Journal article

ALLEN F, FAULHABER GR, 1988, OPTIMISM INVITES DECEPTION, QUARTERLY JOURNAL OF ECONOMICS, Vol: 103, Pages: 397-407, ISSN: 0033-5533

Journal article

ALLEN F, 1987, DISCOVERING PERSONAL PROBABILITIES WHEN UTILITY-FUNCTIONS ARE UNKNOWN, MANAGEMENT SCIENCE, Vol: 33, Pages: 542-544, ISSN: 0025-1909

Journal article

ALLEN F, 1985, ON THE FIXED NATURE OF SHARECROPPING CONTRACTS, ECONOMIC JOURNAL, Vol: 95, Pages: 30-48, ISSN: 0013-0133

Journal article

ALLEN F, 1981, THE PREVENTION OF DEFAULT, JOURNAL OF FINANCE, Vol: 36, Pages: 271-276, ISSN: 0022-1082

Journal article

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