Endogenous Random Asset Prices in Overlapping Generations Economies
| Autor: | Jan Wenzelburger, Volker Böhm, Nicole Deutscher |
|---|---|
| Rok vydání: | 2000 |
| Předmět: |
Economics and Econometrics
Markov chain Applied Mathematics Equity premium puzzle Risk premium Equity (finance) dynamics Overlapping generations model Economy equity premium Accounting random asset pricing Economics Dividend Random dynamical system Social Sciences (miscellaneous) Finance Expected utility hypothesis expectations |
| Zdroj: | Mathematical Finance. 10:23-38 |
| ISSN: | 1467-9965 0960-1627 |
| DOI: | 10.1111/1467-9965.00078 |
| Popis: | ¨ This paper derives a general explicit sequential asset price process for an economy with overlapping generations of consumers. They maximize expected utility with respect to subjective transition probabilities given by Markov kernels. The process is determined primarily by the interaction of exogenous random dividends and the characteristics of consumers, given by arbitrary preferences and expectations, yielding an explicit random dynamical system with expectations feedback. The paper studies asset prices and equity premia for a parametrized class of examples with CARA utilities and exponential distributions. It provides a complete analysis of the role of risk aversion and of subjective as well as rational beliefs. |
| Databáze: | OpenAIRE |
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