Long run forward rates and long yields of bonds and options in heterogeneous equilibria

被引：0
作者：
Semyon Malamud
机构：
[1] ETH Zürich,D
来源：
Finance and Stochastics | 2008年 / 12卷
关键词：
Heterogeneity; Asset prices; Yield curve; Forward rates; Option; 91B28; 91B60; 91B64; 91B70; D91; E43; G12;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
We prove that, in a heterogeneous economy with scale-invariant utilities, the yield of a long term bond is determined by the agent with maximal expected marginal utility. We also prove that the same result holds for the long term forward rates.
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页码：245 / 264
页数：19
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