Heterogeneous risk preferences: theory and empirics

Préférences hétérogènes pour le risque: théorie et pratique

Tyler Abbot ()
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Tyler Abbot: ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique

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Abstract: This thesis studies the solution to several models of financial markets with heterogeneous agents who differ in the rate of risk aversion. The first chapter solves a model with complete markets and dividends driven by a Geometric Brownian Motion. The second chapter solves a similar model, but with a mean reverting dividend process and shows how one could estimate such a model. The third chapter solves the model of chapter one when agents face convex portfolio constraints.

Keywords: Finance; Economics; General equilibrium; Heterogeneous agents; Economie; Equilibre générale; Agents hétérogènes (search for similar items in EconPapers)
Date: 2019-07-01
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Published in Economics and Finance. Institut d'études politiques de Paris - Sciences Po, 2019. English. ⟨NNT : 2019IEPP0031⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:spmain:tel-03659034

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