Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available

DOI10.1016/J.JEDC.2010.08.005MaRDI QIDQ622236zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

heterogeneous agentsgeneral equilibriumrecursive preferencesownership distribution

Mathematics Subject Classification ID

Heterogeneous agent models (91B69)

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Cites work

• Asset Prices in an Exchange Economy
• Balanced-growth-consistent recursive utility
• Balanced-growth-consistent recursive utility and heterogeneous agents
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Continuous-time security pricing. A utility gradient approach
• Discounting and optimizing: Capital accumulation problems as variational minmax problems
• EFFECTS OF DIFFERENCES IN RISK AVERSION ON THE DISTRIBUTION OF WEALTH
• Efficient intertemporal allocations with recursive utility.
• Optimal consumption and portfolio selection with stochastic differential utility
• Optimal growth with many consumers
• PDE solutions of stochastic differential utility
• Recursive preferences and balanced growth
• Recursive utility and preferences for information
• Stationary Ordinal Utility and Impatience
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
• Utility over time: The homothetic case

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

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