Mean variance preferences expectations formation and the dynamics of random asset prices

Blackwell Publishers
Publication Type:
Journal Article
Mathematical Finance, 2005, 15 (1), pp. 61 - 97
Issue Date:
Full metadata record
Files in This Item:
Filename Description SizeFormat
2005000655.pdf2.32 MBAdobe PDF
This paper analyzes the dynamics of an explicit random process of prices and price expectations of finitely many assets in an economy with overlapping generations of heterogeneous consumers. They maximize expected utility with respect to subjective trans
Please use this identifier to cite or link to this item: