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Financial Markets Equilibrium with Heterogeneous Agents

Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - National Centre of Competence in Research - Financial … - 2011

This paper presents an equilibrium model in a pure exchange economywhen investors have three possible sources of heterogeneity. Investorsmay differ in their beliefs, in their level of risk aversion andin their time preference rate. We study the impact of investors heterogeneityon equilibrium...

Persistent link: https://www.econbiz.de/10009486816

Are risk-averse agents more optimistic? : a Bayesian estimation approach

Ben Mansour, Selima; Jouini, Elyès; Marin, Jean-Michel; … - In: Journal of applied econometrics 23 (2008) 6, pp. 843-860

Persistent link: https://www.econbiz.de/10003766812

Are more risk averse agents more optimistic?

Jouini, Elyès; Napp, Clotilde - In: Economics letters 101 (2008) 1, pp. 73-76

Persistent link: https://www.econbiz.de/10003787497

Statement from the editor regarding "Properties of the social discount rate in a Benthamite framework with heterogeneous degrees of impatience"

Hopp, Wallace J. - In: Management science : journal of the Institute for … 54 (2008) 10, pp. 1827

Persistent link: https://www.econbiz.de/10003777115

On Abel's concept of doubt and pessimism

Jouini, Elyès; Napp, Clotilde - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3682-3694

Persistent link: https://www.econbiz.de/10003780996

Properties of the social discount rate in a Benthamite framework with heterogeneous degrees of impatience

Nocetti, Diego; Jouini, Elyès; Napp, Clotilde - In: Management science : journal of the Institute for … 54 (2008) 10, pp. 1822-1826

Persistent link: https://www.econbiz.de/10003776073

Heterogeneous beliefs and asset pricing in discrete time : an analysis of pessimism and doubt

Jouini, Elyès; Napp, Clotilde - In: Journal of economic dynamics & control 30 (2006) 7, pp. 1233-1260

Persistent link: https://www.econbiz.de/10003336480

Behavioral biases and representative agent

Jouini, Elyès; Napp, Clotilde - In: 35th Seminar of the European Group of Risk and …, (pp. 1-28). 2008

Persistent link: https://www.econbiz.de/10003852074

Aggregation of heterogeneous beliefs

Jouini, Elyès; Napp, Clotilde - In: Journal of mathematical economics 42 (2006) 6, pp. 752-770

Persistent link: https://www.econbiz.de/10003376556

Financial markets equilibrium with heterogeneous agents

Cvitanić, Jakša; Jouini, Elyès; Malamud, Semyon; … - 2009

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...

Persistent link: https://www.econbiz.de/10003971310