๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Segmented markets, differential information, and asset return dynamics

โœ Scribed by S.G. Badrinath; Jayant R. Kale; Thomas H. Noe


Book ID
113410265
Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
362 KB
Volume
2
Category
Article
ISSN
1059-0560

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Asset Return Dynamics and Learning
โœ Branch, W. A.; Evans, G. W. ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Oxford University Press ๐ŸŒ English โš– 231 KB
Dynamic portfolio choice and asset prici
โœ Chunsheng Zhou ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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.