Consensus Investor and Intertemporal Asset Pricing with Heterogeneous Beliefs
نویسندگان
چکیده
This paper considers an intertemporal capital market with an arbitrary number of heterogeneous belief investors who maximise the expected utilities of their terminal wealths under their subject beliefs. By aggregating the heterogeneous beliefs of the investors, a consensus investor is constructed to characterise the market equilibrium under the heterogeneous beliefs. Applying this idea to logarithmic utility function case, the impact of the belief heterogeneity on the market equilibrium is examined explicitly and survival conditions of the heterogeneous agents are given.
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