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SUMMARY:General Equilibrium Under Convex Portfolio Constraints and Heterog
 eneous Risk Preferences
DTSTART:20180326T120000
DTEND:20180326T130000
DTSTAMP:20260509T055003Z
UID:1e8277d9e2d0e7004bc560de5a9017f9466c62ab5fd30736a0ed98d4
CATEGORIES:Conferences - Seminars
DESCRIPTION:Tyler ABBOT (PhD candidate at Sciences Po Paris)\nThis paper c
 haracterizes the equilibrium in a continuous time financial market populat
 ed by heterogeneous agents who differ in their rate of relative risk avers
 ion and face convex portfolio constraints. The model is studied in an appl
 ication to margin constraints and found to match real world observations a
 bout financial variables and leverage cycles. It is shown how margin const
 raints increase the market price of risk and decrease the interest rate by
  forcing more risk averse agents to hold more risky assets\, producing a h
 igher equity risk premium. In addition\, heterogeneity and margin constrai
 nts are shown to produce both pro- and counter-cyclical leverage cycles. B
 eyond two types\, more preference types causes a reduction in the severity
  of crisis and a lower relative deviation from complete markets in almost 
 all variables. Finally\, empirical results are given\, documenting a novel
  stylized fact which is predicted by the model\, namely that the leverage 
 cycle is both pro- and counter-cyclical.\n 
LOCATION:UNIL\, Extranef\, room 118 https://planete.unil.ch/plan/?local=EX
 T-118.1
STATUS:CONFIRMED
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