The Representative Agent of an Economy with External Habit Formation and Heterogeneous Risk Aversion
推导了具有追赶琼斯偏好和异质性风险厌恶的经济体中代表性代理人的解析表达式，发现仅风险厌恶异质性不足以解释夏普比率的经验规律。
In this article, we derive an analytic expression for the representative agent of a large class of economies populated by agents with "catching up with the Joneses" preferences, but who exhibit heterogeneous risk aversion. As Chan and Kogan (2002) show numerically, the representative agent has stochastic risk that moves countercyclically to the state variable. However, we show that heterogeneity of risk aversion alone is insufficient for explaining empirical regularities--namely the variability of the Sharpe ratio--that Campbell and Cochrane (1999) obtain in a model of a representative agent with stochastic risk aversion. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.