We use a general equilibrium model as a laboratory for generating predictable excess returns and for assessing the … advantage of this approach, relative to the existing literature, is that the equilibrium model delineates the precise nature of …

, the extent of delegation and equilibrium prices are all determined endogenously within the model we consider. Symmetric … performance fees have more complex effects on equilibrium prices and Sharpe ratios, with the signs of these effects fluctuating …

We analyze the effects of the observed increased share of delegated capital for trading strategies and equilibrium … prices by introducing delegation into a standard Lucas exchange economy. In equilibrium, some investors trade on their own … capital that is delegated is low, all funds follow the same strategy. However, when the equilibrium share of delegated capital …

In this article, we show how to analyse analytically the equilibrium policies and prices in an economy with a … analysis to expand around the solution for an investor with log utility. We then use this method to study a general equilibrium … constraint lowers the risk-free interest rate and raises the equity premium in equilibrium. …