Diverse Beliefs, Survival and the Market Price of Risk
在一个完全市场、纯交换经济中研究两种不同先验信念的代理人如何影响资源配置、风险的市场价格以及资产价格收敛到已知转移概率下的值的速度。
We study prices and allocations in a complete-markets, pure-exchange economy in which there are two types of agents with different priors over infinite sequences of the aggregate endowment. Aggregate consumption growth evolves exogenously according to a two-state Markov process. The economy has two types of agents, one that learns about transition probabilities and another that knows them. We examine allocations, the market price of risk and the rate at which asset prices converge to values that would be computed under the assumption that all agents know the transition probabilities. Copyright © The Author(s). Journal compilation © Royal Economic Society 2009.