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	Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends
	Zhu, Mei ; Wang, Duo ; Guo, Maozheng
	2011
关键词	Heterogeneous beliefs Random dividends Random fixed points Stability Bifurcation ENDOGENOUS FLUCTUATIONS RATIONAL ROUTE PRICES MARKETS DYNAMICS
英文摘要	We investigate dynamical properties of a heterogeneous agent model with random dividends and further study the relationship between dynamical properties of the random model and those of the corresponding deterministic skeleton, which is obtained by setting the random dividends as their constant mean value. Based on our recent mathematical results, we prove the existence and stability of random fixed points as the perturbation intensity of random dividends is sufficiently small. Furthermore, we prove that the random fixed points converge almost surely to the corresponding fixed points of the deterministic skeleton as the perturbation intensity tends to zero. Moreover, simulations suggest similar behaviors in the case of more complicated attractors. Therefore, the corresponding deterministic skeleton is a good approximation of the random model with sufficiently small random perturbations of dividends. Given that dividends in real markets are generally very low, it is reasonable and significant to some extent to study the effects of heterogeneous agents' behaviors on price fluctuations by the corresponding deterministic skeleton of the random model. (C) 2010 Elsevier B.V. All rights reserved.; http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000285227300009&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=8e1609b174ce4e31116a60747a720701 ; Economics; SSCI; 0; ARTICLE; 1; 131-147; 35
语种	英语
出处	SCI
出版者	journal of economic dynamics control
内容类型	其他
源URL	[http://hdl.handle.net/20.500.11897/158157]
专题	数学科学学院
推荐引用方式 GB/T 7714	Zhu, Mei,Wang, Duo,Guo, Maozheng. Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends. 2011-01-01.

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