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Wednesday, August 18, 2021 | History

2 edition of Heterogeneous expectations and equilibrium price of a risky asset found in the catalog.

Heterogeneous expectations and equilibrium price of a risky asset

a note

by Yoon Dokko

  • 254 Want to read
  • 14 Currently reading

Published by College of Commerce and Business Administration, University of Illinois at Urbana-Champaign in Urbana, Ill .
Written in English

    Subjects:
  • Assets (Accounting),
  • Economics

  • Edition Notes

    Includes bibliographical references (p. 8).

    StatementYoon Dokko ; Myung-Jin Kim
    SeriesBEBR faculty working paper -- no. 1095, BEBR faculty working paper -- no. 1095.
    ContributionsKim, Myung-Jin, University of Illinois at Urbana-Champaign
    The Physical Object
    Pagination8 p. ;
    ID Numbers
    Open LibraryOL25105940M
    OCLC/WorldCa720064650

      Agents can either invest in a risk-free asset or in a risky asset. The risk-free asset is perfectly elastically supplied and pays a fixed rate of return r; .


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Heterogeneous expectations and equilibrium price of a risky asset by Yoon Dokko Download PDF EPUB FB2

B COP't FACULTYWORKING PAPERNO HeterogeneousExpectationsandEquiiibrium PriceofaRiskyAsset:ANote YoonDokko Myung. Under heterogeneous expectations, the mean-variance model of capital market equilibrium is employed to determine the effect restricting short sales has on.

ABSTRACT. Under heterogeneous expectations, the meanvariance model of capital market equilibrium is employed to determine the effect restricting short sales has on Cited by: Heterogeneous Expectations and Bond Markets where μ D and σ D are constants, and Z D(t) is a standard Brownian motion process.

We assume that the price level p t. The finance literature has recognized the importance of heterogeneity between investors and its effect on asset pricing. Heterogeneity is introduced as differences Cited by:   Starting from the single-risky-asset framework proposed by Brock and Hommes () and Chiarella and He,Chiarella and He,we have developed a multi-asset Cited by: In this equilibrium, as in the standard CAPM, prices are equal to expected cash ows minus a risk premium related to the supply of the risky assets.

Because. risk is only insurable partially and indirectly by holding aggregate assets (a risk-less bond and aggregate capital).

The principal purpose of this undertaking is. Heterogeneous Agents and General Equilibrium in Financial Markets Tyler Abbot Abstract This paper investigates the e ects of heterogeneous preferences on risk.

the equilibrium price, they will disre-gard their information in favor of the equilibrium price. Hellwig () and Grossman and Stiglitz () attempted to. Capital market equilibrium without riskless assets: heterogeneous expectations literature.

First, the conditions for the existence of equilibrium and the. Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), Crossref, ISI, Google Scholar; Tong, J, J. Heterogeneous expectations, restrictions on short sales, and equilibrium asset prices.

The Journal of Finance, 35, Crossref, ISI, Google Scholar. two assets provide two di erent services to the individual. Risky assets provide agents with claims on dividends, as well as capital gains from changes in.

Downloadable. Following the concept of "adaptively rational equilibrium", Brock and Hommes establish a simple present discounted value asset-pricing model with. Summary. Single period capital-asset-pricing models provide a number of implications on capital market equilibria.

Familiar notions as, for instance, the market. case of a portfolio of one risky asset and one risk-free asset (e. Abel (), Basak (), Zapatero () and Johnson ()). In those papers that. Abstract. We analyze theoretically and empirically the implications of heterogeneous information for equilibrium asset pricing and portfolio choice.

Our Estimated Reading Time: 10 mins. on their asset positions. Absent risk premia, noisy information aggregation is then the only force shaping asset prices and returns. Using a market structure rst. computing the equilibrium asset prices simultaneously with the consumption and portfolio policies of heterogeneous agents facing incomplete markets and subject.

We now discuss the literature on the effect of heterogeneous preferences on asset prices. The effect of different time-discount factors on the efficient allocation. GonedesNicholas J.Capital Market Equilibrium for a Class of Heterogeneous Expectations in a Two-Parameter World.

Journal of Fina 115, (). Google. Abstract. We study equilibrium security price dynamics in an economy where nonfundamental risk arises from agents heterogeneous beliefs about extraneous Estimated Reading Time: 9 mins.

This article studies the dynamic behavior of security prices in the presence of investors' heterogeneous beliefs. We provide a tractable continuous-time. Heterogeneous Gain Learning and the Dynamics of Asset Prices Blake LeBaron International Business School Brandeis University June Preliminary These.

Capital Asset Prices with Heterogeneous Beliefs I. Introduction One of the pillars of modern nance is the capital asset pricing model (CAPM). The CAPM. Heterogeneous expectations, restrictions on short-sales, and equilibrium asset prices.

Journal of Finance 35 Jouini, Elyes and Clotilde, Napp. The asset price, P(t) of any asset in the economy must satisfy the equation dP P (r )dtdy dx; (4) where and are the risk exposures of the asset.

PRICES OF RISKY ASSETS IN GENERAL EQUILIBRIUM William John Heaney B,Sc. University of Saskatchewan, A THESIS SUBMITTED IN PARTIAL FILFILLMENT OF THE. Similarly, in the multi-asset rational expectations equilibrium analyzed by Admati (), the correlation between prices and subsequent returns can be positive.

This paper analyzes how asset prices in a binary market react to information when traders have heterogeneous prior beliefs. We show that the competitive. The aim of this paper is to show, within the mean-variance framework, how the market belief can be constructed as the result of the aggregation of heterogeneous.

Abstract. In a finite time horizon, incomplete market, continuous-time setting with dividends and investor incomes governed by arithmetic Brownian motions, we derive.

the risky asset share for an otherwise identical terminal value of wealth maximizer varies between 30 and 84, over most dividend yield states. Balduzzi and Lynch. -Law of one price-Homogeneous expectations-Security returns process Ri ai bi1l1 bi2l2 Effect of heterogeneous expectations on CAPM.

Equilibrium can. Levy, Haim. Equilibrium in an imperfect market: A constraint on the number of securities in the portfolio. American Economic Review Lintner, John.

mathematical analysis of the dynamical behavior of asset markets in a general equilibrium model with heterogeneous agents. 2 Model framework Consider the standard. where xdenote the number of shares of the risky asset the agent choose to hold, and pis the price of the risky asset.

Note that the expectations are taken. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): We provide general representations for the rate of return and the volatility of a risky. Equilibrium Asset Pricing with Leverage and Default Jo~ao F. Gomesy Lukas Schmidz August ABSTRACT We develop a general equilibrium model linking the pricing of.

The paper is organized as follows. In Sectionwe describe the general equilibrium for the asset pricing model with heterogeneous investors and recursive .We analyze a general equilibrium exchange economy with a continuum of agents who have “catching up with the Joneses” preferences and differ only with respect to the .p p is the equilibrium price function under heterogeneous beliefs with pessimistic marginal investors.

p ^ a is the amount type a investors are willing to pay for .