Multi-asset Noisy Rational Expectations Equilibrium with Contingent Claims

DOI10.1093/RESTUD/RDAB081zbMath1505.91375OpenAlexW3141776768MaRDI QIDQ5051529

Kathy Yuan, Georgy Chabakauri, Konstantinos E. Zachariadis

Publication date: 23 November 2022

Published in: The Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/restud/rdab081

zbMATH Keywords

asymmetric informationmulti-asset economylearning from prices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Information aggregation in a financial market with general signal structure ⋮ On equilibrium existence in a finite-agent, multi-asset noisy rational expectations economy

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