A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
From MaRDI portal
Publication:1606184
DOI10.1016/S0165-1889(98)00064-5zbMath1036.91511WikidataQ126377039 ScholiaQ126377039MaRDI QIDQ1606184
Publication date: 29 July 2002
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (24)
The market for crash risk ⋮ Consumption-based CAPM with belief heterogeneity ⋮ Cross-sectional asset pricing with heterogeneous preferences and beliefs ⋮ Bubbles and persuasion with uncertainty over market sentiment ⋮ Effects of financial innovations on market volatility when beliefs are heterogeneous ⋮ The behavior of individual and aggregate stock prices ⋮ On the existence of competitive equilibrium in frictionless and incomplete stochastic asset markets ⋮ The heterogeneous expectations hypothesis: Some evidence from the lab ⋮ Equilibrium in securities markets with heterogeneous investors and unspanned income risk ⋮ Market selection with learning and catching up with the Joneses ⋮ A CAPM WITH TRADING CONSTRAINTS AND PRICE BUBBLES ⋮ Heterogeneous beliefs, the term structure and time-varying risk premia ⋮ A two-person dynamic equilibrium under ambiguity ⋮ Voluntary information disclosure with heterogeneous beliefs ⋮ On aggregation and representative agent equilibria ⋮ Dynamic market participation and endogenous information aggregation ⋮ Incomplete information equilibria: separation theorems and other myths ⋮ GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES ⋮ Backward SDEs for control with partial information ⋮ Concavity, stochastic utility, and risk aversion ⋮ Fuzzy options with application to default risk analysis for municipal bonds in China ⋮ Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy ⋮ Diverse beliefs ⋮ Ambiguity, asset prices, and excess volatility in a pure-exchange economy
Cites Work
- Unnamed Item
- Unnamed Item
- Self-fulfilling prophecies
- Further results on asset pricing with incomplete information
- A variational problem arising in financial economics
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Effects of financial innovations on market volatility when beliefs are heterogeneous
- Intertemporal asset pricing with heterogeneous beliefs
- Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model
- Implementing Arrow-Debreu Equilibria by Continuous Trading of Few Long-Lived Securities
- Stochastic Equilibria: Existence, Spanning Number, and the `No Expected Financial Gain from Trade' Hypothesis
- An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- A Note On Utility Maximization Under Partial Observations1
- The General Theory of Employment, Interest, and Money
- The Consumption-Based Capital Asset Pricing Model
- Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets
This page was built for publication: A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
