Higher Order Expectations in Asset Pricing
نویسندگان
چکیده
منابع مشابه
Higher Order Expectations
We study higher-order expectations paralleling the Harsanyi (1968) approach to higher-order beliefs—taking a basic set of random variables as given, and building up higher-order expectations from them. We report three main results. First, we generalize Samet’s (1998a) characterization of the common prior assumption in terms of higher-order expectations, resolving an apparent paradox raised by h...
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We propose a theory of asset pricing based on heterogeneous agents who continually adapt their expectations to the market that these expectations aggregatively create. And we explore the implications of this theory computationally using our Santa Fe artificial stock market. Asset markets, we argue, have a recursive nature in that agents’ expectations are formed on the basis of their anticipatio...
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Expectations clearly play a central role in modern macroeconomics. Households and rms are assumed to be dynamic optimizers, making decisions about work, consumption, savings, production and investment, based in part on current economic conditions, but also to a great extent on the future state of the economy. Thus, in particular, household saving and portfolio decisions depend on expected futu...
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ژورنال
عنوان ژورنال: Journal of Money, Credit and Banking
سال: 2008
ISSN: 0022-2879,1538-4616
DOI: 10.1111/j.1538-4616.2008.00139.x