We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption …

equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information …We consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities … simultaneously-traded European-style options. -- Continuous-time equilibrium ; CAPM ; affine processes ; information-based asset …

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption …

We use a new micro data set that covers all oil fields in the world to estimate a stochastic industry-equilibrium model … market in a general-equilibrium model of the world economy. We analyze the impact of the advent of fracking on the volatility …