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

Publisher:
Blackwell Publishers
Publication Type:
Journal Article
Citation:
Mathematical Finance, 2005, 15 (1), pp. 61 - 97
Issue Date:
2005-01
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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
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