Napp, Clotilde; Jouini, Elyès - Université Paris-Dauphine (Paris IX) - 2006
This paper is a generalization of [Calvet, L., Grandmont, J.-M., Lemaire, I., 2002. Aggregation of heterogenous beliefs … heterogeneous individual probability beliefs, in dynamic and complete asset markets, into a single consensus probability belief … the same individual marginal valuation as in the original heterogeneous probability beliefs setting. As in [Calvet, L …