Financial asset pricing models and higher order moments.

Summary Our work aims to present, in a unified framework, the theoretical foundations and properties of four-time asset pricing and option pricing models. In fact, this work combines different fields of analysis: decision theory under uncertainty, portfolio choice theory, financial asset pricing and option pricing. In the first part, we study the decision foundations and properties of equilibrium models of financial asset prices at four moments. Contrary to what is usually assumed in the framework of allocation and valuation models, we show that the choice of a Taylor series expansion stopped at order four has no particular theoretical superiority over a quartic polynomial utility function when it comes to justifying a mean-variance-asymmetry-kurtosis decision criterion. The study of the general properties of the frontier of mean-variance-asymmetry-kurtosis efficient portfolios allows us to extend the Sharpe-Lintner-Mossin asset pricing model to four points in time with or without a non-risky asset. In the second part we study the theoretical foundations and properties of semi-parametric pricing models of European call options at four points in time. This allows us to correct the original model formulation of Corrado and Su (1996-b and 1997-b ) for an important economic and financial error.