A number of researchers (Rubenstein, 2000; Thaler, 1981) have shown that investors have a preference for higher short-run returns, and a declining rate of time preference. Such preferences have been cited as evidence for both investor irrationality and short-comings of the discounted utility model...

In this paper we model a financial market composed of agents with heterogeneous beliefs who change their strategy over time. We propose two different solution methods which lead to two different types of endogenous dynamics. The first makes use of the maximum entropy approach to obtain an...

The long-run risks (LRR) asset pricing model emphasizes the role of low-frequency movements in expected growth and economic uncertainty, along with investor preferences for early resolution of uncertainty, as an important economic-channel that determines asset prices. In this paper, we estimate...