Dynamic Equilibrium with Two Stocks, Heterogeneous Investors, and Portfolio Constraints
研究了两只股票、两类风险厌恶投资者及保证金和杠杆约束下的动态均衡，发现杠杆水平与股票收益相关性及波动性正相关，约束收紧会改变相关性和波动性模式、增加风险溢价并影响资产价格。
We study dynamic equilibrium in a Lucas economy with two stocks, two heterogeneous constant relative risk aversion investors, and portfolio constraints. We focus on margin and leverage constraints, which restrict access to credit. We find a positive relationship between the amount of leverage in the economy and magnitudes of stock return correlations and volatilities. Tighter constraints generate rich patterns in correlations and volatilities, make them less countercyclical, increase risk premia proportionally to assets' margins, and increase prices of low-margin assets more than prices of high-margin assets. We derive closed-form solutions for the unconstrained case and the case of leverage constraints.