Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/116772
Authors: 
Branger, Nicole
Schlag, Christian
Wu, Lue
Year of Publication: 
2015
Series/Report no.: 
SAFE Working Paper Series 114
Abstract: 
In this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with respect to long-run investor survival is that there are degrees of model misspecification on the part of one investor for which there is no compensation by the other investor's deficiency. The main finding with respect to the asset pricing properties of our model is that the two dimensions of asset pricing and survival are basically independent. In scenarios when the investors are more similar with respect to their expected consumption shares, return volatilities can nevertheless be higher than in cases when they are very different.
Subjects: 
General Equilibrium
Asset Allocation
Learning
Different Beliefs
Over-Confidence
JEL: 
G11
G12
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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