2009/07/28 by A. A. Brown, Brown, A. A., L. C. G. Rogers +1
Computer Science · Decision Sciences · Economics, Econometrics and Finance · #Bayesian Modeling and Causal Inference #Economic theories and models #FOS: Economics and business #Game Theory and Applications #General Finance (q-fin.GN) #q-fin.GN
paper · pdf · doi:10.48550/arxiv.0907.4953
6 figures
arxiv created 2009/07/28 · openalex publication_date 2009/07/28 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper will examine a model with many agents, each of whom has a different belief about the dynamics of a risky asset. The agents are Bayesian and so learn about the asset over time. All agents are assumed to have a finite (but random) lifetime. When an agent dies, he passes his wealth (but not his knowledge) onto his heir. As a result, the agents never become sure of the dynamics of the risky asset. We derive expressions for the stock price and riskless rate. We then use numerical examples to exhibit their behaviour.