equilibrium exists and the agents' optimal trading strategies are constant. Affine processes, and the theory of information … are obtained and applied to numerically analyze the impact of the agents' risk aversion on the implied volatility of …

equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …), discounted at that rate, and multiplied by the aggregate risk aversion. The stock price volatility is equal to the market price … of DDV plus a volatility risk premium. In particular, stock price volatility is larger than the dividend volatility if …

heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study … shares, the market price of risk, the risk free rate, the bond prices at di erent maturities, the stock price and volatility …