Divergence of Opinion in Complete Markets: A Note
在Arrow-Debreu模型中考虑具有不同主观概率的代理人，发现资产价格仅取决于总消费和各状态下主观概率的分布。若代理人偏好相同且风险厌恶下降不太快，则主观概率更分散的资产价格更低。
ABSTRACT We consider an Arrow‐Debreu model with agents who have different subjective probabilities. In general, asset prices will depend only on aggregate consumption and the distribution of subjective probabilities in each state of nature. If all agents have identical preferences then an asset with “more dispersed” subjective probabilities will have a lower price than an asset with less dispersed subjective probabilities if risk aversion does not decline too rapidly. It seems that this condition is likely to be met in practice, so that increased dispersion of beliefs will generally be associated with reduced asset prices in a given Arrow‐Debreu equilibrium.