Asset Pricing in a Production Economy with Heterogeneous Investors
This paper is a theoretical examination of the stochastic behavior of equilibrium asset prices in an economy consisting of a production process controlled by a state variable representing the state of technology. The investors with different degrees of risk aversion and time preferences trade and lend among themselves in order to maximize their individual utilities of life time consumption. The allocation of wealth fluctuates randomly among them and acts as a state variable against which each investor wants to hedge. This hedging motive complicates the investors portfolio choice and the equilibrium in the production economy. A general method of constructing equilibrium asset prices is developed and the wealth effect in the general equilibrium is discussed.
Asset pricing Heterogeneous preferences Market price of risk Interest rate
Jin E. Zhang Tiecheng Li
Faculty of Business and Economics The University of Hong Kong Pokfulam Road, Hong Kong Department of Mathematical Science Tsinghua University Beijing 100084, P. R. China
国际会议
西安
英文
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）