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.
Consumption choice and asset pricing with a non-price-taking agent
β Scribed by Suleyman Basak
- Publisher
- Springer
- Year
- 1997
- Tongue
- English
- Weight
- 407 KB
- Volume
- 10
- Category
- Article
- ISSN
- 0938-2259
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
In this paper we study the adaptive rational equilibrium dynamics in a simple asset pricing model introduced by Brock and Hommes (System Dynamics in Economic and Financial Models, Wiley, Chichester, 1997, pp. 3}44; Journal of Economic Dynamics and Control, 22, 1998, 1235}1274). Traders have heteroge
We study the consumption based asset pricing model due to Lucas (Econometrica 46 (1978(Econometrica 46 ( ) 1429)). The exogenous endowment sequence is modeled as a linear stochastic process driven by stable shocks in an otherwise standard framework. The Gaussian process emerges as a special case. We
We study equilibrium security price dynamics in an economy where nonfundamental risk arises from agents' heterogeneous beliefs about extraneous processes. We completely characterize equilibrium in terms of the economic primitives, via a representative agent with stochastic weights. Besides pricing f
## Abstract Black, F. and Scholes, M. (1973) assume a geometric Brownian motion for stock prices and therefore a normal distribution for stock returns. In this article a simple alternative model to Black and Scholes (1973) is presented by assuming a nonβzero lower bound on stock prices. The propose