Asset Pricing with Limited Risk Sharing and Heterogeneous Agents
نویسندگان
چکیده
منابع مشابه
Updating Wealth in an Asset Pricing Model with Heterogeneous Agents
We consider an asset-pricing model with wealth dynamics in a market populated by heterogeneous agents. By assuming that all agents belonging to the same group agree to share their wealth whenever an agent joins the group or leaves it , we develop an adaptive model which characterizes the evolution of wealth distribution when agents switch between different trading strategies. Two groups with he...
متن کاملAsset Pricing with Heterogeneous Preferences
Finding a stochastic discount factor that is robust to model misspecification is not trivial. I consider a general equilibrium model with many agents who can invest their wealth in many assets. As long as (i) agents have (individual-, time-, and state-dependent) recursive preferences that are homothetic in current consumption and continuation value with a common relative risk aversion coefficie...
متن کاملDynamic asset pricing model with heterogeneous sentiments
a r t i c l e i n f o The systematic and important role of investor sentiment has been supported by some recent empirical and theoretical literatures. In this paper, we present a dynamic asset pricing model with heterogeneous sentiments and we find that the equilibrium stock price is the wealth-share-weighted average of the stock prices that would prevail in an economy with one sentiment invest...
متن کاملAsset Pricing with Heterogeneous Investment Horizons
We consider an analytically tractable asset pricing model describing the trading activity in a stylized market with two assets. Traders are boundedly rational expected utility maximizers with different beliefs about future prices and different investment horizons. In particular, we analyze the effects of the latter source of heterogeneity on the dynamics of price. We find that in the case with ...
متن کاملAsset Pricing Model with Heterogeneous Investment Horizons∗
In this paper we study the dynamics of a simple asset pricing model describing the trading activity of heterogeneous agents in a ”stylized” market. The economy in the model contains two assets: a bond with risk-less return and a dividend paying stock. The price of the stock is determined through market clearing condition. Traders are speculators described as expected utility maximizers with het...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2007
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhm063