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 … consider, the estimation issues are so severe that simple unconditional consumption and portfolio rules actually outperform (in …

, 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 paper, we study asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents … necessary to obtain a stationary equilibrium in which both agents survive in the long run. The methodology we develop is …

. Lack of liquidity means that an asset cannot be immediately traded at any point in time. We find the portfolio share of … financial wealth invested in illiquid assets given the liquidity premium. Benchmark calibrations imply a portfolio share of 2 …

This paper examines the extent to which individual investors provide liquidity to the stock market, and whether they … predict short-term future returns is significantly enhanced during times of market stress, when market liquidity provisions … uncertainty. Despite this high aggregate performance, individual investors do not reap the rewards from liquidity provision …

relative to, well-known predictive variables for each of these asset classes. We construct a simple equilibrium model based on … liquidity provision by hedge funds to noise traders to rationalize our findings, and empirically verify auxiliary predictions of …

We develop a dynamic model of liquidity provision, in which hedgers can trade multiple risky assets with arbitrageurs …. We compute the equilibrium in closed form when arbitrageurs' utility over consumption is logarithmic or risk-neutral with … a non-negativity constraint. Liquidity is increasing in arbitrageur wealth, while asset volatilities, correlations, and …