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Heterogeneous risk preferences : theory and empirics
[Préférences hétérogènes pour le risque : théorie et pratique]

Author

Listed:
  • Tyler Abbot

    (ECON - Département d'économie (Sciences Po) - Sciences Po - Sciences Po - CNRS - Centre National de la Recherche Scientifique)

Abstract

This thesis studies the solution to several models of financial markets with heterogeneous agents who differ in the rate of risk aversion. The first chapter solves a model with complete markets and dividends driven by a Geometric Brownian Motion. The second chapter solves a similar model, but with a mean reverting dividend process and shows how one could estimate such a model. The third chapter solves the model of chapter one when agents face convex portfolio constraints.

Suggested Citation

  • Tyler Abbot, 2019. "Heterogeneous risk preferences : theory and empirics [Préférences hétérogènes pour le risque : théorie et pratique]," SciencePo Working papers Main tel-03659034, HAL.
    • Handle: RePEc:hal:spmain:tel-03659034
    as

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