The purpose of this document is to outline the triumvirate investment paradigm as a strategic asset allocation blueprint for portfolio construction by categorizing assets into three distinct groups: Property, Business, and Country.This triumvirate taxonomy fits better within the economic context...

We quantify disagreement about the economy with ex-ante measures of divergence of opinion among economic forecasters and investigate if economic disagreement has a significant impact on the cross-sectional pricing of individual stocks. We find a significant disagreement premium of 7.2% per...

Contrary to the theoretical principle that higher risk is compensated with higher expected return, the literature shows that low-risk stocks outperform high-risk stocks. Using a large-scale household dataset, we provide an explanation for this puzzling result that the anomalous negative...

We develop a life-cycle OLG model with heterogeneous characteristics for population share, work probability, survival rate, labor productivity, subjective discount rate, and intertemporal elasticity of substitution. We can observe the deviations in financial decisions and asset accumulation...

This study develops a life-cycle model to predict an overlapping generations economy comprising heterogeneous agents. In the proposed model, ex-ante heterogeneity involves the work probability, survival rate, subjective discount rate, and intertemporal elasticity of substitution. We observe...

We provide a simple rational bubble model demonstrating that a concentration of income is necessary and sufficient for the existence of equilibria with risky speculative bubbles. Income concentration among top earners leads to excess savings and depressed interest rates, which facilitate the...

The main contribution of this work is to provide a dynamic general equilibrium model of asset allocation, allowing to reconcile economic theory with several puzzling contradictions recently pointed out in the literature: (i) the asset allocation puzzle, (ii) the observed timevariation in...

We show that in a consumption-based asset-pricing model with hyperbolic discounting leading to dynamically inconsistent time preferences value premium increases nonlin-early with the degree of discounting and thus affects cross section of returns. To test our model empirically, we relate the...

This paper introduces endogenous preference evolution into a Lucas-type economy and explores its consequences for investors' trading strategy and the dynamics of asset prices. In equilibrium, investors herd and hold the same portfolio of risky assets which is biased toward stocks of sectors that...

We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on equity markets, consumption and portfolio choices. When agents are more...