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. 





200465 

23112004 

Université
de PARIS  DAUPHINE Place du Maréchal de Lattre De Tassigny  75775 PARIS CEDEX 16  FRANCE Téléphone : +33 (0)1 44054923  fax : +33 (0)1 44054599 