Subjective Discounting in an Exchange Economy
描述了一个离散时间交换经济的均衡，其中消费者具有任意主观贴现因子和同质期效用函数，遵循线性马尔可夫消费和投资组合策略。给出了状态价格和消费财富比的显式表达式，并提供了连续时间近似，展示了主观时间偏好率如何影响无风险利率但不影响瞬时风险收益权衡。
This paper describes the equilibrium of a discrete-time exchange economy in which consumers with arbitrary subjective discount factors and homothetic period utility functions follow linear Markov consumption and portfolio strategies. Explicit expressions are given for state prices and consumption-wealth ratios. We provide an analytically convenient continuous-time approximation and show how subjective rates of time preference affect risk-free rates but not instantaneous risk-return trade-offs. Hyperbolic discount factors can be a source of return volatility, but they cannot be used to address asset pricing puzzles related to high-frequency Sharpe ratios.