We develop a normative theory for constructing mean-variance portfolios robust to model misspecification. We identify two inefficient portfolios---an "alpha'' portfolio, representing latent asset demand, that depends only on pricing errors and a "beta'' portfolio that depends on factor risk...

In this article, our objective is to determine efficient allocations in economies with multiple agents having recursive utility functions. Our main result is to show that in a multiagent economy, the problem of determining efficient allocations can be characterized in terms of a single value...