Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends

DOI10.1016/J.JEDC.2010.09.003MaRDI QIDQ622243zbMATHOpenAlexFDO

Authors Mei Zhu, Duo Wang, Maozheng Guo

Publication date 31 January 2011

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://dare.uva.nl/personal/pure/en/publications/stochastic-equilibria-of-an-asset-pricing-model-with-heterogeneous-beliefs-and-random-dividends(520a4b42-2efa-4af2-8989-074418ba0f71).html

zbMATH Keywords

stabilitybifurcationheterogeneous beliefsrandom fixed pointsrandom dividends

Mathematics Subject Classification ID

Heterogeneous agent models (91B69)

Recommendations

• A dynamic stochastic model of asset pricing with heterogeneous beliefs
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model
• A Stochastic Version of Zeeman's Market Model
• Heterogeneous beliefs, risk and learning in a simple asset pricing model

Cites work

• scientific article; zbMATH DE number 4044883 (Why is no real title available?)
• scientific article; zbMATH DE number 19543 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 193038 (Why is no real title available?)
• scientific article; zbMATH DE number 1201579 (Why is no real title available?)
• A Rational Route to Randomness
• A behavioral asset pricing model with a time-varying second moment
• A bifurcation theory for a class of discrete time Markovian stochastic systems
• A robust rational route to randomness in a simple asset pricing model
• Agent-based computational finance: Suggested readings and early research
• Asset Prices in an Exchange Economy
• Asset prices, traders' behavior and market design
• Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
• Evolutionary dynamics in markets with many trader types
• Existence and stability of stationary solutions of nonlinear difference equations under random perturbations
• HETEROGENEOUS BELIEFS, RISK, AND LEARNING IN A SIMPLE ASSET-PRICING MODEL WITH A MARKET MAKER
• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• Heterogeneous beliefs, risk and learning in a simple asset pricing model
• Heterogeneous speculators, endogenous fluctuations and interacting markets: a model of stock prices and exchange rates
• INVARIANT PROBABILITY DISTRIBUTIONS IN ECONOMIC MODELS: A GENERAL RESULT
• MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
• Markov chains and stochastic stability
• More hedging instruments may destabilize markets
• ON SMALL RANDOM PERTURBATIONS OF SOME SMOOTH DYNAMICAL SYSTEMS
• Stability of stochastic optimal growth models: a new approach
• Stationary Markov Equilibria
• Stochastic equilibrium: Learning by exponential smoothing

Cited in

(7)

• An evolutionary CAPM under heterogeneous beliefs
• MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
• Practical exponential stability of stochastic age-dependent capital system with Lévy noise
• Asymptotic shareholder unanimity with exogenous noise
• A Stochastic Version of Zeeman's Market Model
• A dynamic stochastic model of asset pricing with heterogeneous beliefs
• Procedural rationality, asset heterogeneity and market selection

This page was built for publication: Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q622243)