Risk-Free Bond Prices in Incomplete Markets with Recursive Utility Functions and Multiple Beliefs
نویسندگان
چکیده
منابع مشابه
Risk-Free Bond Prices in Incomplete Markets with Recursive Utility Functions and Multiple Beliefs
We consider an exchange economy under uncertainty, in which agents’ utility functions exhibit constant absolute risk aversion, but they may be recursive and the expected utility calculation may be based on multiple subjective beliefs. The risk aversion coefficients, subjective beliefs, subjective time discount factors, initial endowments, and tradeable assets may differ across agents. We prove ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.591021