While the comparative statics of asset demand have been studied extensively, surprisingly little work has been done on the behavior of equilibrium asset prices and returns in response to changes in the supplies of securities. This is despite considerable interest in the equity premium and...

The demand for commodities in standard applications typically is increasing in income, whereas the demand for the risk free asset in the classic portfolio problem often decreases with income. The latter is shown to occur if and only if the consumer's uncertainty preferences over assets satisfy...

We provide necessary and sufficient conditions such that consumption and asset demands in an incomplete market setting can be rationalized by Kreps-Porteus-Selden preferences and provide a means for recovering the underlying unique representations of risk and time preferences. The incompleteness...

Asset demand tests for Expected Utility have almost universally been implemented in contingent claim settings where markets are complete. However when markets are incomplete, these tests cannot be applied since contingent claim prices cannot be uniquely recovered from given asset prices and the...

We construct a life-cycle model that delivers realistic behavior for housing demand over the life cycle and examine how the model can be calibrated to match basic housing facts in the Chinese economy. We use data from the China Household Finance Survey (CHFS) 2011, 2013 and 2015 to construct...