Affine Disagreement and Asset Pricing
Models of heterogeneous beliefs can generate rich implications for trading and asset pricing (see Suleyman Basak 2005 for a recent survey). When studying such models, aggregation often leads to difficulty in computing equilibrium outcomes. In this paper, we introduce a flexible framework to mo...
| প্রধান লেখক: | , , |
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| অন্যান্য লেখক: | |
| বিন্যাস: | প্রবন্ধ |
| ভাষা: | en_US |
| প্রকাশিত: |
American Economic Association
2011
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| অনলাইন ব্যবহার করুন: | http://hdl.handle.net/1721.1/65929 https://orcid.org/0000-0001-9605-641X |
| সংক্ষিপ্ত: | Models of heterogeneous beliefs can generate
rich implications for trading and asset pricing
(see Suleyman Basak 2005 for a recent survey).
When studying such models, aggregation often
leads to difficulty in computing equilibrium
outcomes. In this paper, we introduce a flexible
framework to model heterogeneous beliefs
in the economy, which we refer to as “affine’’
disagreement about fundamentals. Affine processes
(see Darrel Duffie, Jun Pan, and Kenneth
Singleton 2000) are appealing as they provide
a large degree of flexibility in modeling the
conditional means, volatilities, and jumps for
various quantities of interest while remaining
analytically tractable. Our affine heterogeneous
beliefs framework allows further for stochastic
disagreement among agents about growth rates,
volatility dynamics, as well as the likelihood of
jumps and the distribution of jump sizes. |
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