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dc.contributor.authorNapp, Clotilde*
dc.contributor.authorMalamud, Semyon*
dc.contributor.authorJouini, Elyès*
dc.contributor.authorCvitanić, Jakša*
dc.date.accessioned2010-09-10T09:07:04Z
dc.date.available2010-09-10T09:07:04Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/4724
dc.language.isoenen
dc.subjectequilibriumen
dc.subjectheterogeneous agentsen
dc.subjectvolatilityen
dc.subjectoptimal portfoliosen
dc.subjectsurvivalen
dc.subjectyield curveen
dc.subjectlong yielden
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelD53en
dc.subject.classificationjelG11en
dc.titleFinancial Markets Equilibrium with Heterogeneous Agentsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameReview of Finance
dc.relation.isversionofjnlvol16
dc.relation.isversionofjnlissue1
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages285-321
dc.relation.isversionofdoihttp://dx.doi.org/10.1093/rof/rfr018
dc.identifier.urlsitehttp://halshs.archives-ouvertes.fr/halshs-00488537/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherOxford University Press
dc.subject.ddclabelEconomie financièreen
hal.person.labIds1032*
hal.person.labIds88051*
hal.person.labIds60*
hal.person.labIds116591*


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