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Financial Markets Equilibrium with Heterogeneous Agents

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Date
2012
Link to item file
http://halshs.archives-ouvertes.fr/halshs-00488537/fr/
Dewey
Economie financière
Sujet
equilibrium; heterogeneous agents; volatility; optimal portfolios; survival; yield curve; long yield
JEL code
G12; D53; G11
Journal issue
Review of Finance
Volume
16
Number
1
Publication date
2012
Article pages
285-321
Publisher
Oxford University Press
DOI
http://dx.doi.org/10.1093/rof/rfr018
URI
https://basepub.dauphine.fr/handle/123456789/4724
Collections
  • CEREMADE : Publications
Metadata
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Author
Napp, Clotilde
1032 Dauphine Recherches en Management [DRM]
Malamud, Semyon
88051 Swiss Finance Institute [Geneva]
Jouini, Elyès
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Cvitanić, Jakša
116591 Division of the humanities and social sciences
Type
Article accepté pour publication ou publié
Abstract (EN)
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility as well as the stock's cumulative returns, and optimal portfolio strategies. We relate the heterogeneous economy with the family of associated homogeneous economies with only one class of investors. We consider cross sectional as well as asymptotic properties.

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