Financial Markets Equilibrium with Heterogeneous Agents

Jaksa Cvitanic (), Elyès Jouini (), Semyon Malamud and Clotilde Napp
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Semyon Malamud: EPF Lausanne and Swiss Finance Institute

No 09-45, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: This paper presents an equilibrium model in a pure exchange econ- omy when investors have three possible sources of heterogeneity. In- vestors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors hetero- geneity 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 different maturities, the stock price and volatil- ity 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.

Keywords: equilibrium; heterogeneous agents; volatility; optimal portfolios; survival; yield curve; long yield (search for similar items in EconPapers)
JEL-codes: D53 G11 G12 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2009-12
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Citations: View citations in EconPapers (3)

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Related works:
Working Paper: Financial Markets Equilibrium with Heterogeneous Agents (2012)
Journal Article: Financial Markets Equilibrium with Heterogeneous Agents (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp0945

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