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タイトル: | Risk-Free Bond Prices in Incomplete Markets with Recursive Utility Functions and Multiple Beliefs |
著者: | Hara, Chiaki Kajii, Atsushi |
キーワード: | multiple priors no trade dynamic consistency interim efficiency rectangularityi |
発行日: | May-2004 |
出版者: | Institute of Economic Research, Kyoto University |
誌名: | KIER Discussion Paper |
巻: | 590 |
抄録: | We consider an exchange economy under uncertainty, in which agents' utility functions exhibit constant absolute risk aversion, but they may be recursive and the expected utility calculation may be based on multiple subjective beliefs. The risk aversion coefficients, subjective beliefs, subjective time discount factors, initial endowments, and tradeable assets may differ across agents. We prove that the risk-free bond price goes down (and the interest rate goes up) monotonically as the markets become more complete. We find the range of equilibrium bond prices that depends on the primitives of the economy but not on the structures of financial markets. |
URI: | http://hdl.handle.net/2433/129520 |
関連リンク: | http://ideas.repec.org/p/kyo/wpaper/590.html |
出現コレクション: | KIER Discussion Paper (英文版) |
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