Asset Prices with Heterogeneity in Preferences and Beliefs∗

Abstract

In this paper, we study asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have power utility and differ with respect to both beliefs and their preference parameters for time discount and risk aversion. We solve in closed form for the following quantities: optimal consumption and portfolio policies of individual… (More)

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@inproceedings{Bhamra2009AssetPW, title={Asset Prices with Heterogeneity in Preferences and Beliefs∗}, author={Harjoat S. Bhamra and Raman Uppal and Michael Brennan and Bernard Dumas and Francisco Hugo Rodrigues Gomes and Karim Abadir and Suleyman Basak and Andrea Buraschi and Georgy Chabakauri and David Chapman and J Faridy Cocco and Alan Kraus and Igor Makarov and Semyon Malamud and Anna Pavlova and G. A. Vilkov and Hongjun Yan}, year={2009} }