A Note on Equity Premia in Markets with Heterogeneous Agents
Chudjakow T (2011) Working Papers. Institute of Mathematical Economics.; 444.
Bielefeld: Center for Mathematical Economics.
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Abstract / Bemerkung
We analyze a static partial equilibrium model where the agents are
not only heterogeneous in their beliefs about the return on risky assets
but also in their attitude to it. While some agents in the economy
are subjective utility maximizers others behave ambiguity averse in
the sense of Knight (1921). If ambiguity averse agents meet overly
optimistic subjective utility maximizers in the market lower equity
premia can arise in the equilibrium than in a purely subjective utility
framework.
Stichworte
Ambiguity;
Partial Equilibrium;
Heterogeneous Agents;
No- Trade Interval
Erscheinungsjahr
2011
Serientitel
Working Papers. Institute of Mathematical Economics.
Band
444
Seite(n)
19
ISSN
0931-6558
Page URI
https://pub.uni-bielefeld.de/record/2900046
Zitieren
Chudjakow T. A Note on Equity Premia in Markets with Heterogeneous Agents. Working Papers. Institute of Mathematical Economics. Vol 444. Bielefeld: Center for Mathematical Economics; 2011.
Chudjakow, T. (2011). A Note on Equity Premia in Markets with Heterogeneous Agents (Working Papers. Institute of Mathematical Economics., 444). Bielefeld: Center for Mathematical Economics.
Chudjakow, Tatjana. 2011. A Note on Equity Premia in Markets with Heterogeneous Agents. Vol. 444. Working Papers. Institute of Mathematical Economics. Bielefeld: Center for Mathematical Economics.
Chudjakow, T. (2011). A Note on Equity Premia in Markets with Heterogeneous Agents. Working Papers. Institute of Mathematical Economics., 444, Bielefeld: Center for Mathematical Economics.
Chudjakow, T., 2011. A Note on Equity Premia in Markets with Heterogeneous Agents, Working Papers. Institute of Mathematical Economics., no.444, Bielefeld: Center for Mathematical Economics.
T. Chudjakow, A Note on Equity Premia in Markets with Heterogeneous Agents, Working Papers. Institute of Mathematical Economics., vol. 444, Bielefeld: Center for Mathematical Economics, 2011.
Chudjakow, T.: A Note on Equity Premia in Markets with Heterogeneous Agents. Working Papers. Institute of Mathematical Economics., 444. Center for Mathematical Economics, Bielefeld (2011).
Chudjakow, Tatjana. A Note on Equity Premia in Markets with Heterogeneous Agents. Bielefeld: Center for Mathematical Economics, 2011. Working Papers. Institute of Mathematical Economics. 444.
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