  When investors have heterogeneous attitudes towards risk, it is reasonable to
assume that each investor has a pricing kernel, and that these individual
pricing kernels are aggregated to form a market pricing kernel. The various
investors are then buyers or sellers depending on how their individual pricing
kernels compare to that of the market. In Brownian-based models, we can
represent such heterogeneous attitudes by letting the market price of risk be a
random variable, the distribution of which corresponds to the variability of
attitude across the market. If the flow of market information is determined by
the movements of prices, then neither the Brownian driver nor the market price
of risk are directly visible: the filtration is generated by an "information
process" given by a combination of the two. We show that the market pricing
kernel is then given by the harmonic mean of the individual pricing kernels
associated with the various market participants. Remarkably, with an
appropriate definition of L\'evy information one draws the same conclusion in
the case when asset prices can jump. As a consequence we are led to a rather
general scheme for the management of investments in heterogeneous markets
subject to jump risk.
