• 1 Introductio
  • 2 Model
  • 2.1 Environment
  • 2.2 Asset Trading Technologies
  • 2.3 Equilibrium
  • 3 Solving for Equilibrium Allocations and Prices
  • 3.1 Measurability Conditions
  • 3.2 Martingale Conditions
  • 3.3 Aggregate Multiplier
  • 3.4 Savings and Investment Behavior of Active Traders
  • 4 Computation
  • 4.1 Updating function for household multipliers
  • 4.2 Aggregate multiplier updating operator
  • 4.3 Algorithm
  • 4.4 The Separability of Aggregate and Idiosyncratic Risk
  • 4.5 Shifting Aggregate Risk
  • 5 Quantitative Results
  • 5.1 Calibration
  • 5.2 Risk and Return
  • 5.3 Portfolio and Consumption Choice
  • 5.4 Wealth and Asset Class Share Distribution5.4 Wealth and Asset Class Share Distribution
  • 5.5 Robustness
  • 6 Conclusion
  • References
  • A Proofs