Dynamic portfolio choice and asset pricing with differential information

DOI10.1016/S0165-1889(97)00099-7zbMath0899.90005OpenAlexW1964190556MaRDI QIDQ1128951

Chunsheng Zhou

Publication date: 13 August 1998

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1889(97)00099-7

zbMATH Keywords

asset pricingportfolio selectionmulti-asset intertemporal general equilibrium model

Mathematics Subject Classification ID

Economic growth models (91B62)

Related Items (4)

Informational asymmetries and a multiplier effect on price correlation and trading ⋮ The puzzling evolution of the home bias, information processing and financial openness ⋮ Asset markets with insider trading disclosure rule and reselling constraint: an experimental analysis ⋮ On equilibrium existence in a finite-agent, multi-asset noisy rational expectations economy

Cites Work

• Equilibrium with signal extraction from endogenous variables
• Convergence of least squares learning mechanisms in self-referential linear stochastic models
• On the aggregation of information in competitive markets
• Information, trade and common knowledge
• Market efficiency and inefficiency in rational expectations equilibria. Dynamic effects of heterogeneous information and noise
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Continuous Auctions and Insider Trading
• Informed Speculation with Imperfect Competition
• An Introduction to the Theory of Rational Expectations Under Asymmetric Information
• Smart Money, Noise Trading and Stock Price Behaviour
• A Model of Intertemporal Asset Prices Under Asymmetric Information

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