Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available
From MaRDI portal
Publication:622236
DOI10.1016/J.JEDC.2010.08.005zbMATH Open1232.91541OpenAlexW1987598686MaRDI QIDQ622236FDOQ622236
Authors: Hervé Roche 
Publication date: 31 January 2011
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.08.005
Recommendations
- Market equilibrium with heterogeneous recursive-utility-maximizing agents
- The dynamics of efficient intertemporal allocations with many agents, recursive preferences, and production
- Asset pricing in a pure exchange economy with heterogeneous investors
- Financial markets equilibrium with heterogeneous agents
- Asset price fluctuations without aggregate shocks
Cites Work
- Optimal consumption and portfolio selection with stochastic differential utility
- Stochastic Differential Utility
- Continuous-time security pricing. A utility gradient approach
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Asset Prices in an Exchange Economy
- Stationary Ordinal Utility and Impatience
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- Optimal growth with many consumers
- EFFECTS OF DIFFERENCES IN RISK AVERSION ON THE DISTRIBUTION OF WEALTH
- PDE solutions of stochastic differential utility
- Recursive utility and preferences for information
- Discounting and optimizing: Capital accumulation problems as variational minmax problems
- Utility over time: The homothetic case
- Balanced-growth-consistent recursive utility and heterogeneous agents
- Balanced-growth-consistent recursive utility
- Efficient intertemporal allocations with recursive utility.
- Recursive preferences and balanced growth
- The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
Cited In (6)
- Asset prices with locally constrained-entropy recursive multiple-priors utility
- Equilibrium variance risk premium in a cost-free production economy
- Asset pricing in a pure exchange economy with heterogeneous investors
- Universal bounds for asset prices in heterogeneous economies
- Asset price fluctuations without aggregate shocks
- Risk aversion heterogeneity and the investment-uncertainty relationship
This page was built for publication: Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q622236)
