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2 janvier 2012
- handle: 10670/1.776hu3
- halshs: halshs-00488537
- doi: 10.1093/rof/rfr018
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info:eu-repo/semantics/altIdentifier/doi/10.1093/rof/rfr018
info:eu-repo/semantics/OpenAccess
Mots-clés
equilibrium heterogeneous agents volatility optimal portfolios survival yield curve long yield D - Microeconomics/D.D5 - General Equilibrium and Disequilibrium/D.D5.D53 - Financial Markets G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest RatesSujets proches
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Jaksa Cvitanic et al., « Financial Markets Equilibrium with Heterogeneous Agents », HAL-SHS : économie et finance, ID : 10.1093/rof/rfr018
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Résumé
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may dier 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.