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We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...
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interaction of portfolio rules of competing market participants. A comprehensive theory of evolutionary dynamics of this kind has … the theory to a class of models with short selling and endogenous asset supply …
Persistent link: https://www.econbiz.de/10011865449
We study a general static noisy rational expectations model, where investors have private information about asset payoffs, with common and private components, and about their own exposure to an aggregate risk factor, and derive conditions for existence and uniqueness (or multiplicity) of...
Persistent link: https://www.econbiz.de/10013316183