This paper investigates an endowment economy featuring dynamically inconsistent preferences. Taking a game-theoretic approach, the paper provides an explicit characterisation of the market equilibrium, including the equilibrium short rate, the equilibrium market price of risk and the equilibrium stochastic discount factor. The general results are applied to models featuring non-exponential discounting and state-dependent risk aversion. The findings underscore the significance of incorporating dynamically inconsistent preferences into economic models and offer a framework for analysing them in the context of asset pricing.

中文翻译：

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具有动态不一致代理的资产定价

本文研究了一种具有动态不一致偏好的捐赠经济。本文采用博弈论方法，对市场均衡进行了明确的描述，包括均衡短期利率、均衡市场风险价格和均衡随机贴现因子。一般结果适用于具有非指数贴现和依赖于状态的风险规避的模型。研究结果强调了将动态不一致的偏好纳入经济模型的重要性，并提供了在资产定价背景下分析偏好的框架。