Cahiers du CEREMADE

Unité Mixte de Recherche du C.N.R.S. N°7534
Abstract : The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus belief, as well as a consensus consumer, are shown to be valid modulo a finite variation aggregation bias, which takes the form of a discount factor. We then use our construction to rewrite in a simple way the equilibrium characteristics (state price density, market price of risk, risk premium, risk free rate) in an heterogeneous beliefs framework and to analyze the impact of beliefs heterogeneity.
Consensus consumer and intertemporal asset pricing with heterogeneous beliefs
JOUINI Elyès, NAPP Clotilde
Université de PARIS - DAUPHINE
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