Napp, Clotilde; Malamud, Semyon; Jouini, Elyès; … - Université Paris-Dauphine (Paris IX) - 2012
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...