[PDF][PDF] Multi-agent Equilibrium Model with Heterogeneous Views on Fundamental Risks in Incomplete Market
K Kizaki, T Saito, A Takahashi - 2024 - carf.eu-tokyo.ac.jp
This paper considers a multi-agent optimal investment problem with conservative,
aggressive, or neutral sentiments in an incomplete market by a BSDE approach. Particularly …
aggressive, or neutral sentiments in an incomplete market by a BSDE approach. Particularly …
Multi-agent Robust Optimal Investment Problem in Incomplete Market
K Kizaki, T Saito, A Takahashi - Available at SSRN 4213956, 2022 - papers.ssrn.com
This paper considers a multi-agent optimal investment problem with conservative sentiments
in an incomplete market by a BSDE approach. Particularly, we formulate the conservative …
in an incomplete market by a BSDE approach. Particularly, we formulate the conservative …
Equilibrium multi-agent model with heterogeneous views on fundamental risks
K Kizaki, T Saito, A Takahashi - Automatica, 2024 - Elsevier
This paper investigates an equilibrium-based multi-agent optimal consumption and portfolio
problem incorporating uncertainties on fundamental risks, where multiple agents have …
problem incorporating uncertainties on fundamental risks, where multiple agents have …
Beauty contest, bounded rationality, and sentiment pricing dynamics
H Liang, C Yang, C Cai - Economic Modelling, 2017 - Elsevier
We present a dynamic asset pricing model that incorporates investor sentiment, bounded
rationality and higher-order expectations to study how these factors affect asset pricing …
rationality and higher-order expectations to study how these factors affect asset pricing …
Self-fulfilling risk panics: An expected utility framework
Even if an asset has no fundamental uncertainty with a constant dividend process, a
stochastic sentiment-driven equilibrium for the asset price exists besides the well-known …
stochastic sentiment-driven equilibrium for the asset price exists besides the well-known …
[PDF][PDF] Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility
Our objective is to identify the trading strategy that would allow an investor to take advantage
of “excessive” stock price volatility and “sentiment” fluctuations. We construct a general …
of “excessive” stock price volatility and “sentiment” fluctuations. We construct a general …
[PDF][PDF] Uncertainty about fundamental and pessimistic traders: a piecewise-linear maps approach
We analyze a financial market model with heterogeneous interacting agents where two
groups of fundamentalists are taken into account. We assume that agents are homogeneous …
groups of fundamentalists are taken into account. We assume that agents are homogeneous …
Uncertainty about fundamental, pessimistic and overconfident traders: a piecewise-linear maps approach
We analyze a financial market model with heterogeneous interacting agents where
fundamentalists and chartists are considered. We assume that fundamentalists are …
fundamentalists and chartists are considered. We assume that fundamentalists are …
Investor sentiment, heterogeneous agents and asset pricing model
J Li - The North American Journal of Economics and Finance, 2017 - Elsevier
This paper presents a sentiment asset pricing model with heterogeneous agents. In the
model, the sentiment equilibrium prices have a number proportion-weighted average …
model, the sentiment equilibrium prices have a number proportion-weighted average …
Equilibrium portfolio strategies in the presence of sentiment risk and excess volatility
Our objective is to identify the trading strategy that would allow an investor to take advantage
of “excessive” stock price volatility and “sentiment” fluctuations. We construct a general …
of “excessive” stock price volatility and “sentiment” fluctuations. We construct a general …