Equilibrium Modeling of Asset Prices: Rationality Versus Rules of Thumb
构建了一个包含理性优化者和经验法则使用者的异质性主体一般均衡模型，模拟出美国股市高波动性等典型事实，并介绍了一种求解非线性随机模型的新方法“反向求解”。
General equilibrium models with representative agents have proved to be inadequate descriptions of U.S. financial data. I present a model with heterogeneous agents, optimizers, and nonoptimizers that exhibits high stock-price volatility and mimics empirical regularities found in U.S. consumption, stock return, and three-month treasury-bill return data. The simulation and estimation of the model are performed using a new technique called "backsolving," which is of independent interest to researchers attempting to solve nonlinear, stochastic models.