Heterogeneous Preferences, Constraints, and the Cyclicality of Leverage

Abstract

This paper solves an open problem in financial mathematics by characterizing the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face... [ view full abstract ]

Authors

  1. Tyler Abbot (Sciences Po)

Topic Areas

Equilibrium Models , Incompleteness , Portfolio Theory

Session

TU-A-UI » Equilibria: Heterogenous Preferences & Information, Learning & Reference Dependence (11:30 - Tuesday, 17th July)

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