A Short-Horizon Model of Asset Pricing: Equilibrium Analysis

George Vachadze
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George Vachadze: CERGE-EI

Finance from EconWPA

Abstract: This paper analyses a temporary financial market equilibrium by considering a two-period model of asset pricing with s securities, one riskless bond, and a continuum of heterogeneous agents with different preferences, endowments, and beliefs. Investors' objectives are to maximize the expected utility of the next period wealth. In this paper, after making certain assumptions, I show the existence of a competitive financial market equilibrium.

Keywords: Asset pricing; Heterogeneous agents; Portfolio choice (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Date: 2001-02-23
Note: Type of Document - Acrobat PDF; pages: 19 ; figures: included

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http://129.3.20.41/eps/fin/papers/0012/0012008.pdf (application/pdf)

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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0012008

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