Cvitani, Jaksa; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2009
We perform a detailed asymptotic analysis of the equilibrium behavior of the assetprices, wealth size and portfolio weights in complete markets equilibria, with long-livedfunds. In equilibrium, the fund with the (closest to) log preference will dominate theother funds in size, in the long-run,...