[eng] Beliefs' heterogeneity, risk premium and volatility . This article analyses introducing of subjective and heterogeneous beliefs in traditional equilibrium model. The authors assume heterogeneous beliefs and answer the questions : 1 - is there a consensual belief which implies same...

We provide a price characterization of efficient contingent claims--that is, chosen by at least a rational agent--in multiperiod economies with market frictions. Frictions include market incompleteness, transaction costs, short-selling, and borrowing costs. We characterize the inefficiency cost...

We consider a complete financial market with primitive assets and derivatives on these primitive assets. Nevertheless, the derivative as sets 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...