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.
Dynamic asset pricing with non-redundant forwards
โ Scribed by Abraham Lioui; Patrice Poncet
- Publisher
- Elsevier Science
- Year
- 2003
- Tongue
- English
- Weight
- 174 KB
- Volume
- 27
- Category
- Article
- ISSN
- 0165-1889
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