Endogenous random asset prices in overlapping generations economies

Böhm V, Deutscher N, Wenzelburger J (2000)
MATHEMATICAL FINANCE 10(1): 23-38.

Zeitschriftenaufsatz | Veröffentlicht | Englisch
 
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Autor/in
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Abstract / Bemerkung
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 prc,cess 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.
Stichworte
random asset pricing; expectations; dynamics; equity premium
Erscheinungsjahr
2000
Zeitschriftentitel
MATHEMATICAL FINANCE
Band
10
Ausgabe
1
Seite(n)
23-38
ISSN
0960-1627
eISSN
1467-9965
Page URI
https://pub.uni-bielefeld.de/record/1620528

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Böhm V, Deutscher N, Wenzelburger J. Endogenous random asset prices in overlapping generations economies. MATHEMATICAL FINANCE. 2000;10(1):23-38.
Böhm, V., Deutscher, N., & Wenzelburger, J. (2000). Endogenous random asset prices in overlapping generations economies. MATHEMATICAL FINANCE, 10(1), 23-38. doi:10.1111/1467-9965.00078
Böhm, V., Deutscher, N., and Wenzelburger, J. (2000). Endogenous random asset prices in overlapping generations economies. MATHEMATICAL FINANCE 10, 23-38.
Böhm, V., Deutscher, N., & Wenzelburger, J., 2000. Endogenous random asset prices in overlapping generations economies. MATHEMATICAL FINANCE, 10(1), p 23-38.
V. Böhm, N. Deutscher, and J. Wenzelburger, “Endogenous random asset prices in overlapping generations economies”, MATHEMATICAL FINANCE, vol. 10, 2000, pp. 23-38.
Böhm, V., Deutscher, N., Wenzelburger, J.: Endogenous random asset prices in overlapping generations economies. MATHEMATICAL FINANCE. 10, 23-38 (2000).
Böhm, Volker, Deutscher, N, and Wenzelburger, J. “Endogenous random asset prices in overlapping generations economies”. MATHEMATICAL FINANCE 10.1 (2000): 23-38.