This paper establishes general conditions for the validity of mutual fund separation and the equilibrium CAPM. We use partial preference orders that display weak form mean preserving spread (w-MPS) risk aversion in the sense of Ma (2011). We derive this result without imposing any distributional...

We propose an equilibrium model of asset prices in which agents learn about the mean and the volatility of the endowment process and differ in their concerns about parameter uncertainty. We show that, in equilibrium, following unexpected bad and good news about economic outcomes (i) uncertainty...

This paper proposes a simple, partial equilibrium model for studying an individual's migration decisions. It shows that an individual may choose to delay migration when the condition appears to be favorable, giving rise to the “waiting” behavior observed in the data. Using a closed-form...

A common criticism of behavioral economics is that it has not shown that the psychological biases of individual investors lead to aggregate long-run effects on both asset prices and macroeconomic quantities. Our objective is to address this criticism by providing a simple example of a production...