Equilibrium in a simplified dynamic, stochastic economy with heterogeneous agents
نویسندگان
چکیده
We study a dynamic, stochastic economy with several agents, who may differ in their endowments (of a single commodity) and in their utilities. An equilibrium financial market is constructed, under the condition that all agents have infinite marginal utility at zero. If, in addition, the Arrow—Pratt indices of relative risk aversion for all agents are less than or equal to one, then uniqueness of equilibrium is also proved. When agents consume and invest in this equilibrium market so as to maximize their expected utility of consumption, their aggregate endowment is consumed as it enters the economy and all financial instruments are held in zero net supply. Explicit examples are provided.
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تاریخ انتشار 2015