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Online supplement for "Equilibrium multi-agent model with heterogeneous views on fundamental risks"

Author

Listed:
  • Keisuke Kizaki

    (Graduate School of Economics, The University of Tokyo)

  • Taiga Saito

    (Graduate School of Economics, The University of Tokyo)

  • Akihiko Takahashi

    (Graduate School of Economics, The University of Tokyo)

Abstract

This supplementary file provides an example of the stochastic process ν satisfying Assumptions 3 and 4 in Section 3, details of the proofs for the Proposition 6 and Lemma 8 in Appendix A, the multi-agent equilibrium in the exponential utility case, and a possible extension to the case of stochastic boundaries on agents' views.

Suggested Citation

  • Keisuke Kizaki & Taiga Saito & Akihiko Takahashi, 2023. "Online supplement for "Equilibrium multi-agent model with heterogeneous views on fundamental risks"," CARF F-Series CARF-F-557, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    • Handle: RePEc:cfi:fseres:cf557
    as

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    File URL: https://www.carf.e.u-tokyo.ac.jp/wp/wp-content/uploads/2023/03/F557.pdf
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