Online supplement for "Equilibrium multi-agent model with heterogeneous views on fundamental risks"

Keisuke Kizaki, Taiga Saito and Akihiko Takahashi
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Keisuke Kizaki: Graduate School of Economics, The University of Tokyo
Taiga Saito: Graduate School of Economics, The University of Tokyo
Akihiko Takahashi: Graduate School of Economics, The University of Tokyo

No CARF-F-557, CARF F-Series from Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo

Abstract: This supplementary file provides an example of the stochastic process ν satisfying Assumptions 3 and 4 in Section 3, details of the proofs for the Proposition 6 and Lemma 8 in Appendix A, the multi-agent equilibrium in the exponential utility case, and a possible extension to the case of stochastic boundaries on agents' views.

Pages: 35
Date: 2023-03
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