Cvitanić, Jakša; Malamud, Semyon - Swiss National Centre of Competence in Research North … - 2009
We consider a simple continuous-time economy, populated by a largenumber of agents, more risk averse than the log agent, with heterogeneousrisk aversion densely covering an interval. Even though thedividend is a geometric Brownian motion, the equilibrium investmentopportunity set is stochastic...