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Equilibrium Prices in the Presence of Delegated Portfolio Management

Cuoco, Domenico; Kaniel, Ron - C.E.P.R. Discussion Papers - 2009

, the extent of delegation and equilibrium prices are all determined endogenously within the model we consider. Symmetric … performance fees have more complex effects on equilibrium prices and Sharpe ratios, with the signs of these effects fluctuating …

Persistent link: https://www.econbiz.de/10008528548

Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion

Basak, Suleyman; Yan, Hongjun - C.E.P.R. Discussion Papers - 2009

general-equilibrium analysis in the presence of money illusion generates implications that are consistent with several …

Persistent link: https://www.econbiz.de/10005048554

Asset Prices with Heterogenous Beliefs

Basak, Suleyman - C.E.P.R. Discussion Papers - 2004

opinion enter into security prices. In the determination of equilibrium, we employ a representative investor with stochastic …

Persistent link: https://www.econbiz.de/10005661585

Subjective Discount Factors

Luttmer, Erzo G J; Mariotti, Thomas - C.E.P.R. Discussion Papers - 2000

This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective …

Persistent link: https://www.econbiz.de/10005662071

Business Cycles With Heterogenous Agents

Farmer, Roger E A - C.E.P.R. Discussion Papers - 2002

I show how to construct a stochastic long-lived overlapping generation’s model that is based on a non-stochastic model developed by Olivier Blanchard and Philippe Weil and that nests the RBC model as a special case. My innovation over previous work is to add an aggregate stochastic shock. I...

Persistent link: https://www.econbiz.de/10005662278

Asset Prices, Debt Constraints and Inefficiency

Bloise, Gaetano; Reichlin, Pietro - C.E.P.R. Discussion Papers - 2008

In this paper, we consider economies with (possibly endogenous) solvency constraints under uncertainty. Constrained inefficiency corresponds to a feasible redistribution yielding a welfare improvement beginning from every contingency reached by the economy. A sort of Cass Criterion (Cass (1972))...

Persistent link: https://www.econbiz.de/10005662321

Do Good Workers Hurt Bad Workers - or is it the Other Way Around?

Moen, Espen R - C.E.P.R. Discussion Papers - 2002

equilibrium is inefficient, as the wage premium paid to high-type workers is too high, and the number of high-type jobs too low …

Persistent link: https://www.econbiz.de/10005667080

Transition and the Output Fall

Roland, Gérard; Verdier, Thierry - C.E.P.R. Discussion Papers - 1997

This paper presents a model that explains why in the transition economies of Central and Eastern Europe an important output fall has been associated with price liberalization. Its key ingredients are search frictions and Williamsonian relation-specific investment implying that new investments...

Persistent link: https://www.econbiz.de/10005789122

Banking (Conservatively) With Optimists

Manove, Michael; Padilla, Atilano Jorge - C.E.P.R. Discussion Papers - 1998

In the course of ordinary business, commercial banks frequently encounter entrepreneurs seeking loans for the purpose of financing new or continuing projects. These entrepreneurs are frequently unrealistic, their perception having been biased by wishful thinking. Bankers are left with a...

Persistent link: https://www.econbiz.de/10005791403

Equilibrium of Real Financial Markets: Theory and Experimental Evidence

Bossaerts, Peter - C.E.P.R. Discussion Papers - 2004

markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of … the short run, prices tend to a local equilibrium where the risk-aversion weighted endowment portfolio (RAWE) is mean … than at (CAPM) equilibrium. Experimental evidence confirms the predictions conclusively. …

Persistent link: https://www.econbiz.de/10005792218