have identical, or sufficiently similar prior beliefs, the first best equilibrium is no trade. Simple sufficient conditions … yield the existence of a Pareto-efficient second-best equilibrium which reconciles many observed phenomena in financial …

investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and …

investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and …

investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only …

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption …

. It allows the specification of views and an uncertainty about these views, which are combined with equilibrium returns … process. In the Black-Litterman model, however, uncertainty about the equilibrium returns is specified with an overall scalar …-Litterman model to allow the specification of uncertainty in a flexible way not only in individual views, but also in the equilibrium …