The observation that low-risk assets on average have higher risk-adjusted returns relative to high-risk assets – the low-risk effect – is a driving force behind a broad set of well-documented cross-sectional asset pricing anomalies. I document that long-short strategies formed on a wide...

We derive closed form expressions for equilibrium asset prices and liquidity in an economy populated by a finite number of large, strategic, risk averse investors. The model allows for arbitrary risk preferences, any number of assets, and an arbitrary distribution of asset payoffs. In...

We consider an economy populated by CARA investors who trade, accounting for their price impact, multiple risky assets with arbitrary distributed payoffs. We propose a constructive solution method: finding the equilibrium reduces to solving a linear ordinary differential equation. With market...