1996年6月
Heterogeneous beliefs, wealth accumulation, and asset price dynamics
JOURNAL OF ECONOMIC DYNAMICS & CONTROL
- ,
- 巻
- 20
- 号
- 6-7
- 開始ページ
- 1073
- 終了ページ
- 1100
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- 出版者・発行元
- ELSEVIER SCIENCE BV
This paper develops and analyzes a model of asset markets with two types of investors. We study the stochastic processes for the distribution of wealth between the two types of investors and for the equilibrium asset returns. The relationship between this model and some econometric models with time varying parameters, such as the ARCH (Autoregressive Conditional Heteroskedasticity) model, as well as the relationship between the volume of trade and volatility, are examined, The dynamic properties of another model, regarding investors who use strategies that are a bit more complex, are also analyzed.
- リンク情報
- ID情報
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- ISSN : 0165-1889
- Web of Science ID : WOS:A1996UR42600006