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摘要翻译：
本说明将把Brown&Rogers(2009)中提出的研究扩展到CRRA代理的情况。我们考虑了该论文中概述的模型，在该模型中，代理人对风险资产产生的股利有不同的信念。我们现在假设所有的代理都有CRRA效用，相对风险厌恶系数为整数。这是Brown&Rogers考虑对数代理的推广。我们导出了代理人的状态价格密度、无风险率、股票价格和财富的表达式。这揭示了在不同信仰的均衡中风险厌恶的影响。
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英文标题：
《A note on heterogeneous beliefs with CRRA utilities》
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作者：
A. A. Brown
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最新提交年份：
2009
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
This note will extend the research presented in Brown & Rogers (2009) to the case of CRRA agents. We consider the model outlined in that paper in which agents had diverse beliefs about the dividends produced by a risky asset. We now assume that the agents all have CRRA utility, with some integer coefficient of relative risk aversion. This is a generalisation of Brown & Rogers which considered logarithmic agents. We derive expressions for the state price density, riskless rate, stock price and wealths of the agents. This sheds light on the effects of risk aversion in an equilibrium with diverse beliefs.
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PDF链接：
https://arxiv.org/pdf/0907.4964
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