Bossaerts, Peter; Plott, Charles; Zame, William R. - In: Econometrica 75 (2007) 4, pp. 993-1038
Many tests of asset-pricing models address only the pricing predictions, but these pricing predictions rest on portfolio choice predictions that seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices based on unobserved heterogeneity. This approach yields...