HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY

DOI10.1142/S0219024918500358MaRDI QIDQ4686503zbMATH OpenOpenAlexWikidataFDO

Authors Dietmar P. J. Leisen

Publication date 10 October 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024918500358

zbMATH Keywords

heterogeneitystate-dependent volatilitystochastic volatility

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

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• Emergent volatility in asset markets with heterogeneous agents.
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• Risk aversion heterogeneity and the investment-uncertainty relationship
• STOCHASTIC VOLATILITY

Cites work

• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• A Rational Route to Randomness
• Asset Prices in an Exchange Economy
• Heterogeneity and option pricing
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Investor heterogeneity, asset pricing and volatility dynamics

Cited in

(8)

• Investor heterogeneity, asset pricing and volatility dynamics
• Instability of financial markets and preference heterogeneity
• Price volatility and risk with non-separability of preferences
• Preferences with taste shock representations: price volatility and the liquidity premium
• Sorting in risk-aversion and asset price volatility
• Heterogeneity and option pricing
• Risk Preferences Heterogeneity: Evidence from Asset Markets
• Heterogeneous volatility cascade in financial markets

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