Financial Markets Equilibrium with Heterogeneous Agents
Napp, Clotilde; Malamud, Semyon; Jouini, Elyès; Cvitanić, Jakša (2012), Financial Markets Equilibrium with Heterogeneous Agents, Review of Finance, 16, 1, p. 285-321. http://dx.doi.org/10.1093/rof/rfr018
TypeArticle accepté pour publication ou publié
External document linkhttp://halshs.archives-ouvertes.fr/halshs-00488537/fr/
Journal nameReview of Finance
Oxford University Press
MetadataShow full item record
Dauphine Recherches en Management [DRM]
Swiss Finance Institute [Geneva]
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Division of the humanities and social sciences
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.
Subjects / Keywordsequilibrium; heterogeneous agents; volatility; optimal portfolios; survival; yield curve; long yield
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Properties of the Social Discount Rate in a Benthamite Framework with Heterogeneous Degrees of Impatience Jouini, Elyès; Napp, Clotilde; Nocetti, Diego (2008) Article accepté pour publication ou publié