Branger, Nicole; Schlag, Christian; Wu, Lue - Universität <Münster, Westfalen> / Lehrstuhl für … - 2007
We consider an exchange economy with two heterogeneous stocks and twogroups of investors. Dividends follow diusion processes, with a constant expectedgrowth rate for one stock and a stochastic drift for the other. 'Rationalinvestors' can either observe this stochastic drift without error or...