We study a mean-variance capital asset pricing model (CAPM) in which investors have different probability beliefs about assets returns and different attitudes towards risk, all assets are risky, short-selling is allowed and satiation is possible. First, we prove that there exists a competitive equilibrium in the model under a rather general condition. This condition indicates a simple relations...

PURPOSE to examine the combined effect of cohabitation status and social participation, respectively, and socioeconomic position on onset of mobility limitations in a prospective study among older Danes. DESIGN AND METHODS logistic regression analyses with combined exposure variables were performed in a study population of 2,839 older men and women from the Danish Intervention Study on Preven...

We investigate the effects of an increase in liquidity (a “savings glut”) on the incentives to originate high quality assets, and on the fragility of the financial sector. Originators incur private costs when originating high quality assets. Assets are subsequently distributed in two markets: A private market where informed intermediaries operate, and an exchange where uninformed investors trad...

Private Information, Human Capital, and Optimal “Home Bias” in Financial Markets By allowing for imperfectly informed markets and the role of private information, we offer new insights about observed deviations of portfolio concentrations in domestic relative to foreign risky assets, or “home bias”, from what standard finance models predict. Our model ascribes the “bias” to endogenous informati...

White households in the United States are far wealthier than black or Hispanic households, a disparity that remains unexplained even after taking into account income and demographic factors. This article uses data from the Health and Retirement Study to examine various components of aggregate wealth, including housing equity, nonhousing equity, financial assets in general, and risky assets in p...

This paper explores the asset-price implications in economies where there is no direct insurance against idiosyncratic risks but where there are other assets— such as a riskfree bond or equity—that can be used for self-insurance, subject to exogenously imposed borrowing limits. We analyze an economy without production—an endowment economy—and we consider both the case with no aggregate risk and...

We introduce a new numerical approach to value structured financial products. These financial products typically feature a large number of underlying assets and require the explicit modelling of the dependence structure of these assets. We follow the approach of Kraft and Steffensen (2006,[26]), who explicitly describe the possible value combinations of the assets via a Markov chain with a port...