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A Short-Horizon Model of Asset Pricing: Equilibrium Analysis

Author

Listed:
  • George Vachadze

    (CERGE-EI)

Abstract

This paper analyses a temporary financial market equilibrium by considering a two-period model of asset pricing with s securities, one riskless bond, and a continuum of heterogeneous agents with different preferences, endowments, and beliefs. Investors' objectives are to maximize the expected utility of the next period wealth. In this paper, after making certain assumptions, I show the existence of a competitive financial market equilibrium.

Suggested Citation

  • George Vachadze, 2001. "A Short-Horizon Model of Asset Pricing: Equilibrium Analysis," Finance 0012008, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0012008
    Note: Type of Document - Acrobat PDF; pages: 19 ; figures: included
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0012/0012008.pdf
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    More about this item

    Keywords

    Asset pricing; Heterogeneous agents; Portfolio choice;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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