[经济类] 【双周论坛】(12月7日) Stochastic equilibria of an asset pricing model with... [推广有奖]

【本期主题】Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends

In this paper, we investigate dynamical properties of a heterogeneous agent model with random dividends and further study the relationship between dynamical properties of the random model and those of the corresponding deterministic skeleton, which is obtained by setting the random dividends as their constant mean value. Based on our recent mathematical results, we prove the existence and stability of random fixed points as the perturbation intensity of random dividends is sufficiently small. Furthermore, we prove that the random fixed points converge almost surely to the corresponding fixed points of the deterministic skeleton as the perturbation intensity tends to zero. Moreover, simulations suggest similar behaviors in the case of more complicated attractors. Therefore, the corresponding deterministic skeleton is a good approximation of the random model with sufficiently small random perturbations of dividends. Given that dividends in real markets are generally very low, it is reasonable and significant to some extent to study the effects of heterogeneous agents’ behaviors on price fluctuations by the corresponding deterministic skeleton of the random model.


【报告人】朱梅        阿姆斯特丹大学经济商学院博士后  
                      北京大学金融数学系博士
【时  间】12月7日（周三） 中午12:00  
【地  点】明德主楼610室   
   
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        报告人简介：朱梅，阿姆斯特丹大学经济商学院数量经济系博士后，先后取得东南大学金融数学系硕士学位和北京大学金融数学系博士学位。曾先后于2008年和2011年赴悉尼科技大学和阿姆斯特丹大学作为访问学者。朱梅博士曾多次在国际期刊发表论文，其中有3篇已收入SCI/SSCI检索，目前她正着手完成欧盟的一个关于宏观经济政策研究的项目。

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