Heterogeneous Preferences, Constraints, and the Cyclicality of Leverage


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 ]


  1. Tyler Abbot (Sciences Po)

Topic Areas

Equilibrium Models , Incompleteness , Portfolio Theory


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

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