The Equilibrium Allocation of Di ff usive and Jump Risks with Heterogeneous Agents 1

  • Stephan Dieckmann Tepper, Michael Gallmeyer Tepper
  • Published 2004

Abstract

We study a two-agent pure exchange equilibrium subject to both nondiversifiable diffusive and jump risks. Agents can trade in a financial market consisting of a stock market, a money market, and an insurance market for jump risk. Heterogeneity is introduced through different levels of relative risk aversion. In the framework of standard expected utility we… (More)

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