Guidolin, Massimo (contributor); … - 2005
), Catholic University, Milan, Warwick Business School, and the World Congress of the Econometric
Society in London also provided …)
Here E[.|F
t
] is the conditional expectation given information available at time t,F
t
,andm
t+1
is the investor … in the l-th position so
(π
0
t
Pe
l
) is the ex-ante probability of being in state S
t+1
at time t + 1 given information …