Abstract
dc:description.abstract<p>This paper analyzes and characterizes the dynamics of wealth-share and equilibrium price in a stochastic general equilibrium model with heterogeneous consumers. The characterization enables a comparison between probabilistic learning and price evolution, revealing that prices incorporate "sparse" information efficiently. Results on wealth-share are obtained by comparing traders' optimal investment-consumption plans against their prices. This novel approach extends recent results in the literature by providing a condition that is necessary as well as sufficient for a trader to vanish. The results are applied to survival in iid, survival in large economies, and survival of traders that follow strategies commonly observed in real markets.</p>
Degree
thesis:*- Name thesis:degree_name
- Doctor of Philosophy (PhD)
- Level thesis:degree_level
- Dissertation
- Discipline thesis:degree_discipline
- Economics
- Year dc:date.available
- 2013
Author and committee
dc:creator, dc:contributor.*- Author dc:creator
-
- Massari, Filippo
- Contributors dc:contributor
-
- Werner Ploberger
Subjects
dc:subject × 5Rights
- Language dc:language
- English (en)
Identifiers
dc:identifier.*- OAI identifier oai:identifier
- oai:openscholarship.wustl.edu:etd-2080