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S,s pricing in a dynamic equilibrium model with heterogeneous sectors

โœ Scribed by Vladislav Damjanovic; Charles Nolan


Book ID
113700499
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
653 KB
Volume
36
Category
Article
ISSN
0165-1889

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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