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The dynamics of efficient asset trading with heterogeneous beliefs

✍ Scribed by Pablo F. Beker; Emilio Espino

Book ID
113708219
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
346 KB
Volume
146
Category
Article
ISSN
0022-0531

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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