【精算论坛】Tony He：Asset Pricing under Keeping up with the Joneses and Heterogeneous Beliefs
发布日期：2011-03-14
演讲人：Professor Tony He (University of Technology, Sydney)
演讲题目：Asset Pricing under Keeping up with the Joneses and Heterogeneous Beliefs
时间：2011年3月15日上午10点
地点：学术会堂706
演讲人介绍：
2002年2 月---2006年12月 悉尼科技大学高级讲师
2007年1 月---2010年11月 悉尼科技大学副教授
2010年12月至今 悉尼科技大学金融与经济学教授
讲座摘要
This paper provides an explanation to the Equity Premium Puzzle and the Risk-free Rate Puzzle under ``keeping up with the Joneses' preferences and heterogeneous beliefs. Agents who disagree about the growth rate of aggregate endowment process maximize their expected utility of consumption relative to each other. We derive the consumption shares of the agents, market price of risk and the equilibrium interest rate in closed-form. Given the empirical moments of the U.S consumption data and an estimate of the disagreement about the growth rate of aggregate consumption, our model is able to match the time-series average of the observed equity premium and risk-free rate in the U.S.
[编辑]：孙颖
