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A note on heterogeneous beliefs with CRRA utilities
note on heterogeneous beliefs CRRA utilities
2010/11/1
This note will extend the research presented in Brown & Rogers (2009) to the case of CRRA agents. We consider the model outlined in that paper in which agents had diverse beliefs about the dividends p...
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents ar...
Heterogeneous Beliefs with Partial Observations
Heterogeneous Beliefs Partial Observations
2010/11/1
This paper examines a heterogeneous beliefs model in which there is a process that is only partially observed by the agents. The economy contains a risky asset producing dividends continuously in time...