This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state- and time-non separable preferences are subject to taste shocks. The model nests state- and time-separable preferences with and without taste shocks...

This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use flexible descriptions of preferences and investment opportunities to derive optimal decision rules that nest tactical, myopic, and strategic portfolio allocations. We then compare...

This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state and time-non-separable preferences are subject to taste shocks. The model nests state and time-separable preferences with and without taste shocks as...

Micro–macro models associate the coarse-grained molecular scale of the kinetic theory to the macroscopic scale of continuum mechanics. The conservation equations are solved along with the microscopic equation or the so-called Fokker–Planck equation. In this paper, a micro–macro approach...

In this paper we gauge consumption and portfolio shares, rather than the traditional pricing implications. We study both aggregated (financial, tangible, and human) and disaggregated (deposits, stocks, insurance, and pensions) assets. The empirical shares are computed from recent aggregate...

This paper evaluates the international integration hypothesis, that is, that risk-adjusted anticipated returns are identical, even when financial instruments are traded in different countries. Under time-varying conditional volatility, this hypothesis is tested by verifying the equality between...