In this paper, we provide a complete solution to the problem of equilibrium asset pricing in a pure exchange economy with two types of heterogeneous investors having higher/lower risk aversion. Using a perturbation method, we obtain analytical approximate formulas for the optimal consumption-sharing rule, which is numerically justified to be accurate for a large risk aversion and heterogeneity. We present analytical formulas for the equilibrium pricing function, Sharpe ratio, risk-free rate, stock price and optimal trading strategies. We then analyse the properties of the equilibrium and derive some testable hypotheses, which enhance our understanding on the economics of financial markets.

中文翻译：

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具有异类投资者的纯交换经济中的资产定价

在本文中，我们为具有两种类型的具有较高/较低风险规避的异类投资者的纯交换经济中的均衡资产定价问题提供了完整的解决方案。使用扰动方法，我们获得了最佳的消费共享规则的解析近似公式，该公式在数值上证明对较大的风险规避和异质性是准确的。我们提供均衡定价函数，夏普比率，无风险利率，股票价格和最佳交易策略的分析公式。然后，我们分析均衡的性质并得出一些可检验的假设，这些假设可以增进我们对金融市场经济学的理解。