The learning premium

DOI10.1007/S11579-019-00251-ZMaRDI QIDQ2299391zbMATH OpenOpenAlexFDO

Authors Maxim Bichuch, Paolo Guasoni

Publication date 21 February 2020

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-019-00251-z

zbMATH Keywords

learningequilibriumfilteringasset pricing

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Learning from experience in the stock market
• Learning, regime switches, and equilibrium asset pricing dynamics
• High equity premia and crash fears -- rational foundations
• Internal rationality, imperfect market knowledge and asset prices
• Properties of equilibrium asset prices under alternative learning schemes

Cites work

• Asset Prices in an Exchange Economy
• Asset prices in an ambiguous economy
• Common risk factors in the returns on stocks and bonds
• Predicting the equity premium with dividend ratios
• Stochastics. Introduction to probability and statistics. Translated by Marcel Ortgiese, Ellen Baake, and the author.
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• The Bayesian Choice
• The Lucas orchard

Cited in

(9)

• Properties of equilibrium asset prices under alternative learning schemes
• Long-run risk and hidden growth persistence
• Learning by Holding and Liquidity
• Learning from experience in the stock market
• Pricing assets with stochastic cash-flow growth
• High equity premia and crash fears -- rational foundations
• Smart PAC-learners
• Effective approximation methods for constrained utility maximization with drift uncertainty
• The peso problem hypothesis and stock market returns

This page was built for publication: The learning premium

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2299391)