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- W2156845898 abstract "This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity 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 volatility as well as the stockis 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." @default.
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- W2156845898 date "2010-01-01" @default.
- W2156845898 modified "2023-10-09" @default.
- W2156845898 title "Financial Markets Equilibrium with Heterogeneous Agents" @default.
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- W2156845898 doi "https://doi.org/10.2139/ssrn.1568701" @default.
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