Equilibrium portfolios with heterogeneous consumption externalities
Equilibrium portfolios with heterogeneous consumption externalities
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发表时间：
2002
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通讯作者：
C. Gollier
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作者：
C. Gollier
本文将Arrow-Debreu投资组合模型扩展到消费外部性。假设每个投资者都有一个冯·诺伊曼·摩根斯坦效用，这个效用是他自己的消费和他所属群体的平均消费的函数。个体的风险规避和从众程度在每个群体内部和经济中不同群体之间是异质的。我们表明，在一定的条件下，在经济中的从众程度，最优的投资组合和消费选择观察到的均衡在每个组的消费外部性是等价的，是最优的没有任何外部性，但与调整程度的风险厌恶。如果这些条件不满足，群体就没有代表性的代理人，对纯零均值彩票的需求可能是正的，从而表明并非所有可分散的风险都在均衡时被冲走。我们的特点之间的关系，在经济中的从众分布的竞争性分配的风险和股权溢价。我们为两只基金分离财产的持有提供了条件。
The present paper extends the Arrow-Debreu portfolio model to consumption externalities. It is assumed that each investor has a von NeumannMorgenstern utility that is a function of her own consumption and of the average consumption in the group to which she belongs. Individual degrees of risk aversion and conformism are heterogeneous within each group and between the different groups in the economy. We show that, under some conditions on the degree of conformism in the economy, the optimal portfolio and consumption choices observed at equilibrium in each group with consumption externalities are equivalent to those that are optimal without any externality, but with an adjusted degree of risk aversion. If these conditions are not fulfilled, groups have no representative agent and the demand for pure zero-mean lotteries may be positive, thereby showing that not all diversifiable risks are washed away at equilibrium. We characterize the relationship between the distribution of conformism in the economy to the competitive allocation of risk and to the equity premium. We provide conditions for the two-fund separation property to hold.