Arbeitspapier
A note on equity premia in markets with heterogeneous agents
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Papers ; No. 444
- Klassifikation
-
Wirtschaft
- Thema
-
Ambiguity
Partial Equilibrium
Heterogeneous Agents
No-Trade Interval
Kapitalmarkttheorie
Kapitaleinkommen
Anlageverhalten
Partielles Gleichgewicht
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chudjakow, Tatjana
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Institute of Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chudjakow, Tatjana
- Bielefeld University, Institute of Mathematical Economics (IMW)
Entstanden
- 2011
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