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Asset Pricing with Regime-Dependent Preferences and Learning

Berrada, Tony - 2014

This paper studies equilibrium in a pure exchange economy with unobservable Markov switching consumption growth regimes and regime-dependent preferences. Variations in risk attitudes have fundamental effects on the structure of equilibrium. Explicit solutions are provided for the market price of...

Persistent link: https://www.econbiz.de/10013062632

Asset pricing with regime-dependent preferences and learning

Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - 2013

This paper studies equilibrium in a pure exchange economy with unobservable Markov switching consumption growth regimes and regime-dependent preferences. Variations in risk attitudes have fundamental effects on the structure of equilibrium. Explicit solutions are provided for the market price of...

Persistent link: https://www.econbiz.de/10010256362

Asset pricing with beliefs-dependent risk aversion and learning

Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - In: Journal of financial economics 128 (2018) 3, pp. 504-534

Persistent link: https://www.econbiz.de/10011981179

Trading volume in dynamically efficient markets

Berrada, Tony (contributor); Hugonnier, Julien (contributor) - 2005

Persistent link: https://www.econbiz.de/10002744424

Modèles d'évaluation des actifs financiers dans les marchés boursiers en émergence : identification des facteurs de risque et tests de changement structurel

Garcia, René - In: L' Actualité économique : revue trimest. 74 (1998) 3, pp. 467-484

Persistent link: https://www.econbiz.de/10001338886

Asset pricing in a production economy with incomplete information

Detemple, Jérôme B. - In: The journal of finance : the journal of the American … 41 (1986) 2, pp. 383-391

Persistent link: https://www.econbiz.de/10001015117

A general equilibrium model of asset pricing with partial or heterogeneous information

Detemple, Jérôme B. - In: Finance : revue de l'Association Française de Finance 7 (1986) 2, pp. 183-201

Persistent link: https://www.econbiz.de/10001016341

Equilibrium asset prices and no-arbitrage with portfolio constraints

Detemple, Jérôme B. - In: The review of financial studies 10 (1997) 4, pp. 1133-1174

Persistent link: https://www.econbiz.de/10001229600

Intertemporal asset pricing with heterogeneous beliefs

Detemple, Jérôme B. - In: Journal of economic theory 62 (1994) 2, pp. 294-320

Persistent link: https://www.econbiz.de/10001164067

Asset and commodity prices with multi-attribute durable goods

Detemple, Jérôme B. - In: Journal of economic dynamics & control 20 (1996) 8, pp. 1451-1504

Persistent link: https://www.econbiz.de/10001203966

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