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Asset Pricing with Conditioning Information: A New Test

โœ Scribed by Kevin Q. Wang

Book ID
110693165
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
452 KB
Volume
58
Category
Article
ISSN
0022-1082

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This paper presents a multi-asset intertemporal general equilibrium model of portfolio selection and asset pricing with differential information. A method of Sargent (1991) is used to resolve the 'infinite regress' problem in information extraction and to derive a rational expectations equilibrium.