Heterogeneous Beliefs Risk And Learning In A Simple Asset Pricing Model PDF Download
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Author | : Carl Chiarella |
Publisher | : |
Total Pages | : 38 |
Release | : 1999 |
Genre | : Finance |
ISBN | : |
Download Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model Book in PDF, ePub and Kindle
Author | : Carl Chiarella |
Publisher | : |
Total Pages | : 42 |
Release | : 2000 |
Genre | : Capital assets pricing model |
ISBN | : |
Download Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker Book in PDF, ePub and Kindle
Author | : William A. Brock |
Publisher | : |
Total Pages | : 40 |
Release | : 1999 |
Genre | : Assets (Accounting) |
ISBN | : |
Download Heterogeneous Beliefs and Routes to Chaos in a Simple Asset Pricing Model Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Asset Pricing Model with Heterogeneous Investment Horizons Book in PDF, ePub and Kindle
In this paper we study the dynamics of a simple asset pricing model describing the trading activity of heterogeneous agents in a "stylized" market. The economy in the model contains two assets: a bond with risk-less return and a dividend paying stock. The price of the stock is determined through market clearing condition. Traders are speculators described as expected utility maximizers with heterogeneous beliefs about future stock price and with heterogeneous estimation of risk. In particular, we consider traders who base their investment decision on different time horizons and we analyze the effect of these differences on the price dynamics. Under suitable parameterization, the stock no-arbitrage "fundamental" price can emerge as a stable fixed point of the model dynamics. For different parameterizations, however, the market shows cyclical or chaotic price dynamics with speculative bubbles and crashes. We find that the sole heterogeneity of agents with respect to their time horizons is not enough to guarantee the instability of the fundamental price and the emergence of non-trivial price dynamics. However, if different groups of agents are characterized by different trading behaviors, the introduction of heterogeneous investment horizons can help to decrease the stability region of the "fundamental" fixed point. The role of time horizons turns out to be different for different trade behaviors and, in general, depends on the whole ecology of agents' beliefs. We demonstrate this effect discussing a case in which the increase of fundamentalists time horizons can lead to cyclical or chaotic price behavior, while the same increase for the chartists helps to stabilize the fundamental price. -- Asset pricing ; Heterogenous beliefs ; Investment horizons
Author | : Süleyman Başak |
Publisher | : |
Total Pages | : 33 |
Release | : 2000 |
Genre | : Stocks |
ISBN | : |
Download A Model of Dynamic Equilibrium Asset Pricing with Heterogeneous Beliefs and Extraneous Risk Book in PDF, ePub and Kindle
Author | : Francisco Vazquez-Grande |
Publisher | : |
Total Pages | : 83 |
Release | : 2012 |
Genre | : |
ISBN | : 9781267835536 |
Download Learning the Long-run Asset Pricing Model Book in PDF, ePub and Kindle
I document business-cycle properties and a significant increase in the average level of risk-prices in the presence of learning in economies with homogeneous agents, and in the presence of agents with heterogeneous beliefs based on learning. I solve a model with long-run risk where both, the level and persistence of expected consumption growth are unobserved. I introduce a new methodology to quantify the effects of learning about parameter uncertainty and latent variables. The average historical maximum Sharpe ratios increases significantly in the learning economy when compared to the full-information case, and the difference between the subjective risk-prices of learning and non-learning agents is shown to be counter-cyclical. The agent facing parameter uncertainty choose state variables that are sufficient statistics of the learning problems and, conditional on her information set, forms posterior distributions of the states and future consumption growth. To reduce the complexity of optimization, I present a novel numerical approach that approximates the agent's continuation-value by nesting the solutions of problems with different information sets.
Author | : Elyes Jouini |
Publisher | : |
Total Pages | : 42 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs Book in PDF, ePub and Kindle
The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete market economy. The construction of a consensus probability belief, as well as a consensus consumer, are shown to be valid modulo an aggregation bias, which takes the form of a discount factor. In classical cases, the consensus probability belief is a risk-tolerance weighted average of the individual beliefs, and the discount factor is proportional to the beliefs dispersion. This discount factor makes the heterogeneous beliefs setting fundamentally different from the homogeneous beliefs setting, and it is consistent with the interpretation of belief heterogeneity as a source of risk.We then use our construction to rewrite in a simple way the equilibrium characteristics (market price of risk, risk premium, risk-free rate) in a heterogeneous beliefs framework and to analyze the impact of belief heterogeneity. Finally, we show that it is possible to construct specific parametrizations of the heterogeneous beliefs model that lead to globally higher risk premia, lower risk-free rates, and risk premia that are lower for assets with higher belief dispersion.
Author | : Miroslav Verbič |
Publisher | : |
Total Pages | : |
Release | : 2012 |
Genre | : Mathematics |
ISBN | : |
Download Memory and Asset Pricing Models with Heterogeneous Beliefs Book in PDF, ePub and Kindle
Memory and Asset Pricing Models with Heterogeneous Beliefs.
Author | : Puneet Handa |
Publisher | : |
Total Pages | : 52 |
Release | : 1986 |
Genre | : Arbitrage |
ISBN | : |
Download Heterogeneous Beliefs, Asset Market Equilibrium and the Arbitrage Pricing Model Book in PDF, ePub and Kindle
Author | : Carl Chiarella |
Publisher | : |
Total Pages | : 23 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Aggregation of Heterogeneous Beliefs and Asset Pricing Theory Book in PDF, ePub and Kindle
Within the standard mean-variance framework, this paper provides a procedure to aggregate the heterogeneous beliefs in not only risk preferences and expected payoffs but also variances/covariances into a market consensus belief. Consequently, an asset equilibrium price under heterogeneous beliefs is derived. We show that the market aggregate behavior is in principle a weighted average of heterogeneous individual behaviors. The CAPM-like equilibrium price and return relationships under heterogeneous beliefs are obtained. The impact of diversity of heterogeneous beliefs on the market aggregate risk preference, asset volatility, equilibrium price and optimal demands of investors is examined. As a special case, our result provides a simple explanation for the empirical relation between cross-sectional volatility and expected returns.