This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may dier in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes formula, has been famalized in a framework by Harrison and Kreps (1979), harrison and Pliska (1979) and Kreps (1981). In these models, securities markets are assumed to be frictionless. The main...

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price rocesses. In the more...

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the...

We consider a general discrete-time dynamic nancial market with three assets: a riskless bond, a security and a derivative. The market is incomplete (apriori) and at equilibrium. We assume also that the agents of the economy have short-sales constraints on the stock and that the payo at the...

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative assets are non-redundant in the market, in the sense that the market is complete, only with their existence. In such a framework, we derive an equilibrium...

The theory of asset pricing, which takes its roots in the Arrow-Debreu model, the Black and Scholes formula, has been famalized in a framework by Harrison and Kreps (1979), harrison and Pliska (1979) and Kreps (1981). In these models, securities markets are assumed to be frictionless. The main...

The problem of fair pricing of contingent claims is well understood in the contex of an arbitrage free, complete financial market, with perfect information : the so-called arbitrage approach permits to construct a unique valuation operator compatible with observed price processes. In the more...

Under a comonotonicity assumption between aggregate dividends and the market portfolio, the CCAPM formula becomes more tractable and more easily testable. In this paper, we provide theoretical justifications for such an assumption.

In this paper we study some foundational issues in the theory of asset pricing with market frictions. We model market frictions by letting the set of marketed contingent claims (the opportunity set) be a convex set, and the pricing rule at which these claims are available be convex. This is the...