On non-ergodic asset prices
From MaRDI portal
Publication:2464015
DOI10.1007/s00199-006-0175-6zbMath1154.91025OpenAlexW2048903463MaRDI QIDQ2464015
Ulrich Horst, Jan Wenzelburger
Publication date: 10 December 2007
Published in: Economic Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00199-006-0175-6
Continuous-time Markov processes on general state spaces (60J25) Ordinary differential equations and systems with randomness (34F05) Auctions, bargaining, bidding and selling, and other market models (91B26)
Related Items (3)
Classical ergodicity and modern portfolio theory ⋮ An analysis of the effect of noise in a heterogeneous agent financial market model ⋮ Long-run heterogeneity in an exchange economy with fixed-mix traders
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Evolutionary stability of portfolio rules in incomplete markets
- Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
- Financial price fluctuations in a stock market model with many interacting agents
- The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM
- Learning to predict rationally when beliefs are heterogeneous
- On the performance of efficient portfolios
- Evolution and market behavior
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Moderate deviations for stable Markov chains and regression models
- The statistical mechanics of strategic interaction
- Optimality and natural selection in markets
- Moderate deviations for martingales and mixing random processes
- The stochastic equation Yn+1=AnYn + Bn with stationary coefficients
- A Rational Route to Randomness
- A Microeconomic Approach to Diffusion Models For Stock Prices
- Do Markets Favor Agents able to Make Accurate Predictions?
- MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
This page was built for publication: On non-ergodic asset prices
