Technion, IEM faculty - Seminar in Probability and Stochastic Processes
 
Speaker: Roman Muraviev, ETH.
 
Title: Market selection with learning and catching up with the Joneses
 
Date: 27/12/2011
 
Time: 11:30
 
Place: Hashmal-861
 
Abstract:  <http://ie.technion.ac.il/seminar_files/1323335979_M.txt>
 
Or here:
We study the market selection hypothesis in complete financial markets,
populated by heterogeneous agents. We allow for a rich structure of
heterogeneity: individuals may differ in their beliefs concerning the
economy, information and learning mechanism, risk aversion, impatience
and 'catching up with Joneses' preferences. We develop new techniques
for studying the long-run behaviour of such economies, based on the
Strassen's functional law of iterated logarithm. In particular, we
explicitly determine an agent's survival index and show how the latter
depends on the agent's characteristics. We use these results to study
the long-run behavior of the equilibrium interest rate and the market
price of risk.
 
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