Heterogenous probabilities in complete asset markets

被引：0

作者：

Calvet, L ^{[1
]}

Grandmont, JM ^{[1
]}

Lemaire, I ^{[1
]}

机构：

[1] Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02198 USA

来源：

ADVANCES IN MATHEMATICAL ECONOMICS, VOL 1 | 1999年

关键词：

heterogeneity; subjective probabilities; complete asset markets;

D O I：

暂无

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We show in this paper how, in a model of assets exchange in complete competitive markets, heterogeneity of the agents' subjective probabilities generates aggregate expenditures for Arrow-Debreu securities that have the gross substitutability property, with the consequences that competitive equilibrium is unique, stable in any tatonnement process, and that the weak axiom of revealed preferences is satisfied in the aggregate. For this result, heterogeneity is required to be highest among people who have the largest risk aversion.

引用

页码：3 / 15

页数：13

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