Many tests of asset pricing models address only the pricing predictions - but these pricing predictions rest on portfolio choice predictions which seem obviously wrong. This paper suggests a new approach to asset pricing and portfolio choices, based on unobserved heterogeneity. This approach...

This paper discusses a bootstrap-based test that checks if finite moments exist and indicates cases of possible misapplication. It notes, in fact, that a procedure for finding the smallest power to which a sample needs to be raised, such that the test rejects a hypothesis that the corresponding...