| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w8609
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| 来源ID | Working Paper 8609
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| Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies |
| Leonid Kogan; Raman Uppal
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| 发表日期 | 2001-11-01
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| 出版年 | 2001
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| 语种 | 英语
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| 摘要 | In this article, we show how to analyze analytically the equilibrium policies and prices in an economy with a stochastic investment opportunity set and incomplete financial markets, when agents have power utility over both intermediate consumption and terminal wealth, and face portfolio constraints. The exact local comparative statics and approximate but analytical expression for the portfolio policy and asset prices are obtained by developing a method based on perturbation analysis to expand around the solution for an investor with log utility. We then use this method to study a general equilibrium exchange economy with multiple agents who differ in their degree of risk aversion and face borrowing constraints. We characterize explicitly the consumption and portfolio policies and also the properties of asset returns. We find that the volatility of stock returns increases with the cross-sectional dispersion of risk aversion, with the cross-sectional dispersion in portfolio holdings, and with the relaxation of the constraint on borrowing. Moreover, tightening the borrowing constraint lowers the risk-free interest rate and raises the equity premium in equilibrium. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
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| URL | https://www.nber.org/papers/w8609
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566215
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推荐引用方式
GB/T 7714 |
Leonid Kogan,Raman Uppal. Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies. 2001.
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文件名：
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w8609.pdf
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格式：
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Adobe PDF
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