1999 | OriginalPaper | Buchkapitel
Heterogenous probabilities in complete asset markets
verfasst von : Laurent Calvet, Jean-Michel Grandmont, Isabelle Lemaire
Erschienen in: Advances in Mathematical Economics
Verlag: Springer Japan
Enthalten in: Professional Book Archive
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
We show in this paper how, in a model of assets exchange in complete competitive markets, heterogeneity of the agents’ subjective probabilities generates aggregate expenditures for Arrow-Debreu securities that have the gross substitutability property, with the consequences that competitive equilibrium is unique, stable in any tatônnement process, and that the weak axiom of revealed preferences is satisfied in the aggregate. For this result, heterogeneity is required to be highest among people who have the largest risk aversion.