摘要翻译:
本文将研究一个具有许多代理人的模型,每个代理人对风险资产的动态有不同的信念。代理是贝叶斯的,因此随着时间的推移了解资产。假定所有代理都有一个有限的(但随机的)生存期。当一个代理人死了,他把他的财富(但不是他的知识)传给他的继承人。因此,代理人永远无法确定风险资产的动态。我们导出了股票价格和无风险利率的表达式。然后我们用数值例子来展示它们的行为。
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英文标题:
《Heterogeneous Beliefs with Finite-Lived Agents》
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作者:
A. A. Brown and L. C. G. Rogers
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最新提交年份:
2009
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分类信息:
一级分类:Quantitative Finance 数量金融学
二级分类:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要:
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents are assumed to have a finite (but random) lifetime. When an agent dies, he passes his wealth (but not his knowledge) onto his heir. As a result, the agents never become sure of the dynamics of the risky asset. We derive expressions for the stock price and riskless rate. We then use numerical examples to exhibit their behaviour.
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PDF链接:
https://arxiv.org/pdf/0907.4953