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Heterogeneous Beliefs with Finite-Lived Agents Author info | Abstract | Publisher info | Download info | Related research | Statistics A. A. Brown
L. C. G. Rogers
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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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Paper provided by arXiv.org in its series Quantitative Finance Papers with number
0907.4953.
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Date of creation: Jul 2009Date of revision:
Handle: RePEc:arx:papers:0907.4953Contact details of provider: Web page: http://arxiv.org/
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
A. A. Brown, 2009.
"Heterogeneous Beliefs with Partial Observations ,"
Quantitative Finance Papers
0907.4950, arXiv.org.
[Downloadable!]
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