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dc.contributor.authorNapp, Clotilde
dc.contributor.authorJouini, Elyès
dc.date.accessioned2009-03-21T10:00:07Z
dc.date.available2009-03-21T10:00:07Z
dc.date.issued2006
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/80
dc.language.isoenen
dc.subjectRepresentative agentsen
dc.subjectAggregation of beliefen
dc.subjectConsensus beliefen
dc.subjectHeterogeneous beliefsen
dc.subject.ddc332en
dc.subject.classificationjelG12en
dc.subject.classificationjelD83en
dc.titleAggregation of Heterogeneous Beliefsen
dc.typeArticle accepté pour publication ou publiéen
dc.contributor.editoruniversityother
dc.contributor.editoruniversityotherCentre de Recherche en Économie et Statistique (CREST);France
dc.description.abstractenThis paper is a generalization of [Calvet, L., Grandmont, J.-M., Lemaire, I., 2002. Aggregation of heterogenous beliefs and asset pricing in complete financial markets. Working paper] to a dynamic setting. We propose a method to aggregate heterogeneous individual probability beliefs, in dynamic and complete asset markets, into a single consensus probability belief. This consensus probability belief, if commonly shared by all investors, generates the same equilibrium prices as well as the same individual marginal valuation as in the original heterogeneous probability beliefs setting. As in [Calvet, L., Grandmont, J.-M., Lemaire, I., 2002. Aggregation of heterogenous beliefs and asset pricing in complete financial markets. Working paper], the construction stands on a fictitious adjustment of the market portfolio. The adjustment process reflects the aggregation bias due to the diversity of beliefs. In this setting, the construction of a representative agent is shown to be also valid.en
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol42en
dc.relation.isversionofjnlissue6en
dc.relation.isversionofjnldate2006-09en
dc.relation.isversionofjnlpages752-770en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jmateco.2006.02.001en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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