A. Abel, Asset Prices under Heterogeneous Beliefs: Implications for the Equity Premium, 1989.

A. R. Admati, A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets, Econometrica, vol.53, issue.3, pp.629-657, 1985.
DOI : 10.2307/1911659

Y. Aït-sahalia and A. W. Lo, Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices, The Journal of Finance, vol.51, issue.2, pp.499-547, 1998.
DOI : 10.1111/0022-1082.215228

S. Basak, A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk, Journal of Economic Dynamics and Control, vol.24, issue.1, pp.63-95, 2000.
DOI : 10.1016/S0165-1889(98)00064-5

T. Berrada, Incomplete Information, Heterogeneity, and Asset Pricing, Journal of Financial Econometrics, vol.4, issue.1, pp.136-160, 2006.
DOI : 10.1093/jjfinec/nbj001

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.130.2857

B. Biais, P. Bossaerts, and C. Spatt, Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information, Review of Financial Studies, vol.23, issue.4, 2009.
DOI : 10.1093/rfs/hhp113

O. Blanchard and M. Watson, Are Business Cycles All Alike ?, The American Business Cycle, pp.123-182, 1986.
DOI : 10.3386/w1392

L. Blume and D. Easley, If You're so Smart, why Aren't You Rich? Belief Selection in Complete and Incomplete Markets, Econometrica, vol.74, issue.4, pp.929-966, 2006.
DOI : 10.1111/j.1468-0262.2006.00691.x

L. Blume and D. Easley, The market organism: Long-run survival in markets with heterogeneous traders, Journal of Economic Dynamics and Control, vol.33, issue.5, pp.1023-1035, 2009.
DOI : 10.1016/j.jedc.2009.01.007

A. Cabrales and T. Hoshi, Heterogeneous beliefs, wealth accumulation, and asset price dynamics, Journal of Economic Dynamics and Control, vol.20, issue.6-7, pp.1073-1100, 1996.
DOI : 10.1016/0165-1889(95)00890-X

L. Calvet, J. Grandmont, and I. Lemaire, Aggregation of Heterogeneous Beliefs and Asset Pricing in Complete Financial Markets, 2002.

J. Y. Campbell and J. H. Cochrane, By Force of Habit: A Consumption???Based Explanation of Aggregate Stock Market Behavior, Journal of Political Economy, vol.107, issue.2, pp.205-251, 1999.
DOI : 10.1086/250059

A. Chateauneuf and M. Cohen, Risk Seeking with Diminishing Marginal Utility in a Nonexpected Utility Model, Journal of Risk and Insurance, vol.9, pp.77-91, 1994.

J. Cochrane, Volatility tests and efficient markets, Journal of Monetary Economics, vol.27, issue.3, pp.463-485, 1991.
DOI : 10.1016/0304-3932(91)90018-J

A. David, Heterogeneous Beliefs, Speculation, and the Equity Premium, The Journal of Finance, vol.22, issue.1, pp.41-83, 2008.
DOI : 10.1111/j.1540-6261.2008.01310.x

A. David and P. Veronesi, Option Prices with Uncertain Fundamentals, 2002.

P. Demarzo and C. Skiadas, Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information, Journal of Economic Theory, vol.80, issue.1, pp.123-152, 1998.
DOI : 10.1006/jeth.1998.2398

J. Detemple and S. Murthy, Intertemporal Asset Pricing with Heterogeneous Beliefs, Journal of Economic Theory, vol.62, issue.2, pp.294-320, 1994.
DOI : 10.1006/jeth.1994.1017

E. Diecidue and P. Wakker, On The Intuition Of Rank-Dependent Utility, SSRN Electronic Journal, pp.281-298, 2001.
DOI : 10.2139/ssrn.244668

R. Duchin and M. Levy, Disagreement, Portfolio Optimization, and Excess Volatility, Journal of Financial and Quantitative Analysis, vol.76, issue.03, 2009.
DOI : 10.2307/2328188

B. Dumas, A. Kurshev, and R. Uppal, Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility, Journal of Finance, 2009.

E. Fama and K. French, Dividend yields and expected stock returns, Journal of Financial Economics, vol.22, issue.1, pp.3-25, 1988.
DOI : 10.1016/0304-405X(88)90020-7

B. Friedman, Money, Credit and Interest Rates in the Business Cycle, The American Business Cycle, pp.123-182, 1986.
DOI : 10.3386/w1482

M. Friedman, The case for ?exible exchange rates. Essays in Positive Economics, 1953.

C. Gollier, Whom should we believe? Aggregation of heterogeneous beliefs, Journal of Risk and Uncertainty, vol.36, issue.1, pp.107-127, 2007.
DOI : 10.1007/s11166-007-9021-x

L. P. Hansen and R. Jagannathan, Implications of Security Market Data for Models of Dynamic Economies, Journal of Political Economy, vol.99, issue.2, pp.225-262, 1991.
DOI : 10.1086/261749

L. P. Hansen and R. Jagannathan, Assessing Specification Errors in Stochastic Discount Factor Models, The Journal of Finance, vol.18, issue.2, pp.557-590, 1997.
DOI : 10.1111/j.1540-6261.1997.tb04813.x

J. C. Jackwerth and M. Rubinstein, Recovering Probability Distributions from Option Prices, The Journal of Finance, vol.6, issue.4, pp.1611-1631, 1996.
DOI : 10.1111/j.1540-6261.1996.tb05219.x

E. Jouini and C. Napp, Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs, Review of Economic Studies, vol.74, issue.4, pp.1149-1174, 2007.
DOI : 10.1111/j.1467-937X.2007.00439.x

URL : https://hal.archives-ouvertes.fr/halshs-00152348

E. Jouini, J. Marin, and C. Napp, Discounting and divergence of opinion, Journal of Economic Theory, vol.145, issue.2, 2008.
DOI : 10.1016/j.jet.2010.01.002

URL : https://hal.archives-ouvertes.fr/halshs-00176636

L. Kogan, S. Ross, J. Wang, and M. Wester?eld, The Price Impact and Survival of Irrational Traders, The Journal of Finance, vol.41, issue.1, pp.195-229, 2006.
DOI : 10.1111/j.1540-6261.2006.00834.x

H. Levy, M. Levy, and G. Benita, Capital Asset Prices with Heterogeneous Beliefs*, The Journal of Business, vol.79, issue.3, pp.1317-1354, 2006.
DOI : 10.1086/500678

T. Li, Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy, Journal of Economic Dynamics and Control, vol.31, issue.5, pp.1697-1727, 2007.
DOI : 10.1016/j.jedc.2006.06.003

R. Mehra and E. Prescott, The equity premium: A puzzle, Journal of Monetary Economics, vol.15, issue.2, pp.145-161, 1985.
DOI : 10.1016/0304-3932(85)90061-3

R. Merton, On Estimating the Expected Return on the Market: an Exploratory Investigation, Journal of Financial Economics, vol.8, pp.323-362, 1980.
DOI : 10.3386/w0444

M. Rubinstein, The valuation of uncertain income streams and the pricing of options, Bell Journal of Economics, vol.7, pp.407-425, 1976.
DOI : 10.1142/9789812701022_0002

A. Sandroni, Do Markets Favor Agents Able to Make Accurate Predictions ? Econometrica, pp.1303-1334, 2000.

J. Scheinkman and W. Xiong, Overconfidence and Speculative Bubbles, Journal of Political Economy, vol.111, issue.6, pp.1183-1219, 2003.
DOI : 10.1086/378531

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.195.7394

M. Yaari, The Dual Theory of Choice under Risk, Econometrica, vol.55, issue.1, pp.95-115, 1987.
DOI : 10.2307/1911158

H. Yan, Natural Selection in Financial Markets: Does It Work ? Management Science, pp.1935-1950, 2008.

H. Yan, Is Noise Trading Cancelled out by Aggregation ? Working Paper, 2008.
DOI : 10.1287/mnsc.1100.1167

F. Zapatero, Effects of financial innovations on market volatility when beliefs are heterogeneous, Journal of Economic Dynamics and Control, vol.22, issue.4, pp.597-626, 1998.
DOI : 10.1016/S0165-1889(97)00076-6