Heterogeneous beliefs and asset pricing in discrete time: an analysis of pessimism and doubt

DOI10.1016/J.JEDC.2005.05.008zbMath1200.91228OpenAlexW3121507059MaRDI QIDQ956553

Elyès Jouini, Clotilde Napp

Publication date: 25 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://halshs.archives-ouvertes.fr/halshs-00151536/en/

zbMATH Keywords

asset pricingbeliefsheterogeneityconsensuspessimism

Mathematics Subject Classification ID

Heterogeneous agent models (91B69)

Related Items (7)

Consumption-based CAPM with belief heterogeneity ⋮ Survival in speculative markets ⋮ Disagreement, correlation and asset prices ⋮ Outer synchronization for a class of discrete-time complex dynamic networks with unknown bounded interaction ⋮ Long-run heterogeneity in an exchange economy with fixed-mix traders ⋮ Momentum and reversal in financial markets with persistent heterogeneity ⋮ Investor heterogeneity, asset pricing and volatility dynamics

Cites Work

• Unnamed Item
• Effects of financial innovations on market volatility when beliefs are heterogeneous
• Intertemporal asset pricing with heterogeneous beliefs
• An exploration of the effects of pessimism and doubt on asset returns.
• On Abel's concept of doubt and pessimism
• An Examination of Heterogeneous Beliefs with a Short-Sale Constraint in a Dynamic Economy*
• Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefs

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