Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?
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Our paper examines whether the well-documented failure of unsophisticated investors to rebalance their portfolios can help to explain the enormous counter-cyclical volatility of aggregate risk compensation in financial markets. To answer this question, we set up a model in which CRRA-utility
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美国国家经济研究局创建时间：
2009-09-01
