Universal bounds for asset prices inheterogeneous economies

We establish universal bounds for asset prices in heterogeneouscomplete market economies with scale invariant preferences. Namely, for eachagent in the economy we consider an artificial homogeneous economy, popu-lated solely by this agent and calculate the ”homogeneous” price of an asset ineach of this economies. Dumas (1989) conjectured that the risk free rate in theheterogeneous economy must lie in the interval determined by the minimal andmaximal of the ”homogeneous” prices.[...]

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Year of publication:	2008-05-01
Authors:	Malamud, Semyon
Institutions:	Swiss National Centre of Competence in Research North South <Bern>
Subject:	Aktienkurs \| Ertrag \| Heterogenität \| Beschränkung \| restriction

1 Introduction
2 The model
3 Market Equilibrium and State Price Densities
4 Convexity and Concavity of the Aggregator Function
5 Universal bounds for asset prices
6 Risk aversion on both sides of one
References

Persistent link: https://www.econbiz.de/10005869071