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Dynamic portfolio choice and asset pricing with narrow framing and probability weighting

✍ Scribed by Enrico G. De Giorgi; Shane Legg

Book ID
113700517
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
547 KB
Volume
36
Category
Article
ISSN
0165-1889

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πŸ“œ SIMILAR VOLUMES

Dynamic portfolio choice and asset prici
Dynamic portfolio choice and asset pricing with differential information
✍ Chunsheng Zhou πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 207 KB

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.