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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

Type
Article accepté pour publication ou publié
External document link
http://halshs.archives-ouvertes.fr/halshs-00488537/fr/
Date
2012
Journal name
Review of Finance
Volume
16
Number
1
Publisher
Oxford University Press
Pages
285-321
Publication identifier
http://dx.doi.org/10.1093/rof/rfr018
Metadata
Show full item record
Author(s)
Napp, Clotilde cc
Dauphine Recherches en Management [DRM]
Malamud, Semyon
Swiss Finance Institute [Geneva]
Jouini, Elyès
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Cvitanić, Jakša
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 / Keywords
equilibrium; heterogeneous agents; volatility; optimal portfolios; survival; yield curve; long yield
JEL
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
D53 - Financial Markets
G11 - Portfolio Choice; Investment Decisions

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