Financial Markets Equilibrium with Heterogeneous Agents

Start: 12/02/2010 - 4:15pm
End  : 12/02/2010 - 5:15pm

Statistics/OR/Math Finance Seminar

Jaksa Cvitatic, CalTech


In this talk we survey recent results on equilibrium models in a complete, continuous time financial market when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion and in their time preference rate. We study the impact of investors heterogeneity on the consumption shares, the market price of risk, the risk free rate, the bond prices at different maturities, the stock price and volatility, as well as the stock's cumulative returns, and optimal portfolio strategies. We relate the heterogeneous economy with the family of associated homogeneous economies with only one class of investors, and we study asymptotic survival of various agents in the economy.

Harvey Mudd College 3rd floor Sprague. Refreshments at 4pm.