𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Stability and bifurcation in a simple heterogeneous asset pricing model

✍ Scribed by Xiaoling Ke; Ke Shi

Book ID
116423903
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
617 KB
Volume
26
Category
Article
ISSN
0264-9993

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Endogenous fluctuations in a simple asse
Endogenous fluctuations in a simple asset pricing model with heterogeneous agents
✍ Andrea Gaunersdorfer πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 461 KB

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

Heterogeneous beliefs and routes to chao
Heterogeneous beliefs and routes to chaos in a simple asset pricing model
✍ William A. Brock; Cars H. Hommes πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 598 KB

This paper investigates the dynamics in a simple present discounted value asset pricing model with heterogeneous beliefs. Agents choose from a finite set of predictors of future prices of a risky asset and revise their 'beliefs' in each period in a boundedly rational way, according to a 'fitness mea

A model of dynamic equilibrium asset pri
A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
✍ Suleyman Basak πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 244 KB

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