This paper analyzes the effects of portfolio constraints on asset returns and volatility. Portfolio constraints may arise due to minimum capital requirement reg

We study general equilibrium in a Lucas (1978) economy with one consumption good and two investors with heterogeneous risk aversions and beliefs about aggregate

This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk avers

In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pri

While mainstream financial theories and applications assume that asset returns are normally distributed and individual preferences are quadratic, the overwhelmi