First‐Order Risk Aversion, Heterogeneity, and Asset Market Outcomes
研究异质性代理人经济中非期望效用偏好对风险溢价和无风险利率的影响，发现忽略异质性会导致模型结果敏感，因为非期望效用代理人会内生退出风险资产市场。
ABSTRACT We examine a wide range of two‐date economies populated by heterogeneous agents with the most common forms of nonexpected utility preferences used in finance and macroeconomics. We demonstrate that the risk premium and the risk‐free rate in these models are sensitive to ignoring heterogeneity. This follows because of endogenous withdrawal by nonexpected utility agents from the market for the risky asset. This finding is important precisely because these alternative preferences have frequently been proposed as possible resolutions to various asset pricing puzzles, and they have all been examined exclusively in a representative agent framework.