Asset Pricing Implications of Pareto Optimality with Private Information
نویسندگان
چکیده
منابع مشابه
Asset pricing implications of Pareto optimality with private information
In this paper, we consider a dynamic economy in which the agents in the economy are privately informed about their skills, which evolve stochastically over time in an arbitrary fashion. We consider an asset pricing equilibrium in which equilibrium quantities are constrained Pareto optimal. Under the assumption that agents have constant relative risk aversion, we derive a novel asset pricing ker...
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In this paper, we give a uni ed approach to equilibrium asset pricing theories. We de ne a factor subspace and develop a general equilibrium model with an in nite dimensional contingent claim space which will be applied to asset pricing models. We show that there exists a minimal factor subspace F in the sense that no proper subspace of F can serve a factor subspace. We discuss how the minimal ...
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ژورنال
عنوان ژورنال: Journal of Political Economy
سال: 2009
ISSN: 0022-3808,1537-534X
DOI: 10.1086/599761