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Towards a “Sophisticated” Model of Belief Dynamics. Part II: Belief Revision.

✍ Scribed by Brian Hill

Publisher
Springer Netherlands
Year
2008
Tongue
English
Weight
359 KB
Volume
89
Category
Article
ISSN
0039-3215

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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