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Theory of Inverse Demand : Financial Assets

Kubler, Felix - 2012

While the comparative statics of asset demand have been studied extensively, surprisingly little work has been done on …

Persistent link: https://www.econbiz.de/10013113671

A Demand System Approach to Asset Pricing

Koijen, Ralph S. J. - 2019

We develop an asset pricing model with flexible heterogeneity in asset demand across investors, designed to match … institutional and household holdings. A portfolio choice model implies characteristics-based demand when returns have a factor … variables estimator for the characteristics-based demand system to address the endogeneity of demand and asset prices. Using US …

Persistent link: https://www.econbiz.de/10012904578

A Demand System Approach to Asset Pricing

Koijen, Ralph S. J. - 2015

Persistent link: https://www.econbiz.de/10013011447

A Demand System Approach to Asset Pricing

Koijen, Ralph S.J. - 2015

We develop an asset pricing model with flexible heterogeneity in asset demand across investors, designed to match … institutional and household holdings. A portfolio-choice model implies characteristics-based demand when returns have a factor … variables estimator for the characteristics-based demand system to address the endogeneity of demand and asset prices. Using U …

Persistent link: https://www.econbiz.de/10012456921

Extending the Demand System Approach to Asset Pricing

Gehrig, Thomas; Sögner, Leopold; Westerkamp, Arne - 2022

We extend the d cifically we analyse constant absolute and constant relative risk aversion, provide conditionsfor the existence of equilibrium, and evaluate equilibrium prices at US-data. We find that constant absolute risk aversion works particularly well at moderate levels of risk aversion. In...

Persistent link: https://www.econbiz.de/10014235881