Electronic Resource
Oxford, UK and Boston, USA
:
Blackwell Publishers, Inc.
Mathematical finance
10 (2000), S. 0
ISSN:
1467-9965
Source:
Blackwell Publishing Journal Backfiles 1879-2005
Topics:
Mathematics
,
Economics
Notes:
This paper derives a general explicit sequential asset price process for an economy with overlapping generations of consumers. They maximize expected utility with respect to subjective transition probabilities given by Markov kernels. The process is determined primarily by the interaction of exogenous random dividends and the characteristics of consumers, given by arbitrary preferences and expectations, yielding an explicit random dynamical system with expectations feedback. The paper studies asset prices and equity premia for a parametrized class of examples with CARA utilities and exponential distributions. It provides a complete analysis of the role of risk aversion and of subjective as well as rational beliefs.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1111/1467-9965.00078
Permalink
|
Location |
Call Number |
Expected |
Availability |
