Intertemporal asset pricing with heterogeneous beliefs

DOI10.1006/jeth.1994.1017zbMath0801.90015OpenAlexW2008464074MaRDI QIDQ1327367

Shashidhar Murthy, Jérôme B. Detemple

Publication date: 18 July 1994

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jeth.1994.1017

zbMATH Keywords

production growthintertemporal asset pricing

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62)

Related Items (35)

Live fast, die young: equilibrium and survival in large economies ⋮ Shareholder heterogeneity, asymmetric information, and the equilibrium manager ⋮ Valuation of commodity derivatives with an unobservable convenience yield ⋮ Consumption-based CAPM with belief heterogeneity ⋮ Effects of financial innovations on market volatility when beliefs are heterogeneous ⋮ The behavior of individual and aggregate stock prices ⋮ Belief aggregation for representative agent models ⋮ Reinsurance contract design with heterogeneous beliefs and learning ⋮ Dynamic portfolio choice under ambiguity and regime switching mean returns ⋮ Beauty contests under private information and diverse beliefs: How different? ⋮ Market selection ⋮ A two-person dynamic equilibrium under ambiguity ⋮ Optimal portfolio choice for unobservable and regime-switching mean returns ⋮ Equilibrium stock return dynamics under alternative rules of learning about hidden states ⋮ Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle ⋮ Heterogeneous beliefs and asset pricing in discrete time: an analysis of pessimism and doubt ⋮ Dynamic market participation and endogenous information aggregation ⋮ Interest rate options valuation under incomplete information ⋮ Incomplete information equilibria: separation theorems and other myths ⋮ Diverse beliefs and time variability of risk premia ⋮ Discounting and divergence of opinion ⋮ GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES ⋮ Existence of Arrow-Radner equilibrium with endogenously complete markets under incomplete information ⋮ Backward SDEs for control with partial information ⋮ Fuzzy options with application to default risk analysis for municipal bonds in China ⋮ Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy ⋮ Investor heterogeneity, asset pricing and volatility dynamics ⋮ Rational beliefs and endogenous uncertainty ⋮ A theory of optimal timing and selectivity ⋮ Equilibrium CEO contract with belief heterogeneity ⋮ Futures market equilibrium with heterogeneity and a spot market at harvest ⋮ A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk ⋮ Diverse beliefs ⋮ Asset pricing in an intertemporal partially-revealing rational expectations equilibrium. ⋮ Ambiguity, asset prices, and excess volatility in a pure-exchange economy

This page was built for publication: Intertemporal asset pricing with heterogeneous beliefs