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

DOI10.1016/J.JEDC.2010.09.003MaRDI QIDQ622243zbMATH OpenOpenAlexFDO

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)

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Cites work

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• More hedging instruments may destabilize markets
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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

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