异质性时间偏好与资产定价

摘要

Incorporating heterogeneous investors is an important research direction in asset pricing. In this paper, heterogeneity in time preference is incorporated in Lucas' s pure exchange economy framework and a continuous-time dynamic asset pricing model is developed to analyze heterogeneous time preference. Analytical solutions of asset prices are presented and the investors' optimal consumption and investment policies are analyzed. Numerical analysis is given to demonstrate the asset pricing implications of time preference heterogeneity.%引入异质性投资者是资产定价理论的重要发展方向之一.将异质性时间偏好纳入Lucas纯交换经济框架,发展出连续时间、存在异质性时间偏好投资者的动态资产定价模型,给出了模型资产价格和收益的解析解,并且分析投资者的最优消费和投资策略,最后数值分析了异质性时间偏好的资产定价含义.