Christensen, Peter Ove; Larsen, Kasper; Munk, Claus - In: Journal of Economic Theory 147 (2012) 3, pp. 1035-1063
with finitely many heterogeneous CARA investors and unspanned income risk. In equilibrium, the Sharpe ratio is the same as … is higher. The reduction in the risk-free rate is highest when the more risk-averse investors face the largest unspanned … income risk. …