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

, the payoff to portfolio insurance, and the relative demand for portfolio insurance across VIX levels. We find that the … demand for portfolio insurance is relatively high at low levels of VIX, suggesting purchasers demand more downside protection … on the hedging behavior of specific investor classes, and show that the demand for portfolio insurance is driven by …

The demand for commodities in standard applications typically is increasing in income, whereas the demand for the risk …

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 …