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Risk And Return.pdf

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Preview of Risk and Return
🔗 Source: gsb.stanford.edu
📊 Size: 518 KB
📄 Pages: 60 pages
⬇️ Downloads: 95

Summary

We develop a dynamic equilibrium model of complex asset markets with endogenous entry and exit, where investors with more expertise face less asset-specific risk. The model shows that higher expert demand lowers equilibrium required returns, reducing overall participation, and that more complex assets earn higher equilibrium returns, but with decreasing compensation per unit of risk. The market-level Sharpe ratio increases with asset complexity only if expertise and complexity are complements, and participation declines as inexpert investors are driven out.

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Description

We develop a dynamic equilibrium model of complex asset markets with endogenous entry and exit, where investors with more expertise face less asset-specific...

Technical Information

  • File Format: PDF
  • File Size: 518 KB
  • Pages: 60
  • Language: EN
  • Total Downloads: 95
  • Last Updated: 3 hours ago

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