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On non-ergodic asset prices

Author

Listed:
  • Ulrich Horst

    ()

  • Jan Wenzelburger

    ()

Abstract

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Suggested Citation

  • Ulrich Horst & Jan Wenzelburger, 2008. "On non-ergodic asset prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 34(2), pages 207-234, February.
  • Handle: RePEc:spr:joecth:v:34:y:2008:i:2:p:207-234
    DOI: 10.1007/s00199-006-0175-6
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    References listed on IDEAS

    as
    1. Horst, Ulrich & Scheinkman, Jose A., 2006. "Equilibria in systems of social interactions," Journal of Economic Theory, Elsevier, vol. 130(1), pages 44-77, September.
    2. Blume, Lawrence E. & Easley, David, 2002. "Optimality and Natural Selection in Markets," Journal of Economic Theory, Elsevier, vol. 107(1), pages 95-135, November.
    3. Blume Lawrence E., 1993. "The Statistical Mechanics of Strategic Interaction," Games and Economic Behavior, Elsevier, vol. 5(3), pages 387-424, July.
    4. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
    5. Volker Böhm & Carl Chiarella, 2005. "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 61-97.
    6. Hans Föllmer & Martin Schweizer, 1993. "A Microeconomic Approach to Diffusion Models For Stock Prices," Mathematical Finance, Wiley Blackwell, vol. 3(1), pages 1-23.
    7. Hillebrand, Marten & Wenzelburger, Jan, 2006. "The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 565-593, August.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Parke, William R. & Waters, George A., 2014. "On The Evolutionary Stability Of Rational Expectations," Macroeconomic Dynamics, Cambridge University Press, vol. 18(07), pages 1581-1606, October.
    2. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
    3. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9.
    4. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2013. "Time-varying beta: a boundedly rational equilibrium approach," Journal of Evolutionary Economics, Springer, vol. 23(3), pages 609-639, July.
    5. Xue-Zhong He & Lei Shi, 2010. "Differences in Opinion and Risk Premium," Research Paper Series 271, Quantitative Finance Research Centre, University of Technology, Sydney.
    6. repec:spr:joecth:v:66:y:2018:i:2:d:10.1007_s00199-017-1066-8 is not listed on IDEAS
    7. Wenzelburger, Jan, 2008. "A Note on the Two-fund Separation Theorem," MPRA Paper 11014, University Library of Munich, Germany, revised 31 Sep 2008.
    8. Xue‐Zhong He & Lei Shi, 2012. "Boundedly rational equilibrium and risk premium," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 71-93, March.
    9. Jan Wenzelburger, 2013. "Risk sharing in a financial market with endogenous option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 491-517, July.

    More about this item

    Keywords

    CAPM; Financial markets; Social interaction; Random difference equations; C62; D85; G12;

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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