In this article, we wish to understand: (i) the valuation of a non-redundant derivative in an economy where agents are heterogenous, (ii) the role of such a derivative in an investor's dynamic portfolio strategy, and (iii) the effect of introducing this derivative on the prices of more primitive...

In this article, we examine analytically the optimal consumption and portfolio policies in an economy with incomplete financial markets where agents have power utility over intermediate consumption and bequest, and face portfolio constraints and a stochastic investment opportunity set. The...

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...