Chapter 5. Heterogeneity, Market Mechanisms, and Asset Price Dynamics

  1. Introduction 279
  2. Heterogeneity and Market-Clearing Mechanisms 283
    1. Portfolio Optimization 283
    2. Utility Functions 284
    3. Market-Clearing Mechanisms 285
    4. Noise 287
    5. Expectations Feedback 287
  3. Price Dynamics Implied by the CARA Utility Function 288
    1. Fundamental Price and the Optimal Demand 288
    2. Formation of Heterogeneous Beliefs 289
    3. Performance Measure and Switching 290
    4. Price Behavior under the Walrasian Auctioneer Mechanism 291
    5. Price Behavior under the Market-Maker Mechanism 298
  4. Price behavior and Wealth Dynamics Implied by the CRRA Utility 302
    1. Optimal Portfolio and Wealth Dynamics 302
    2. Price and Wealth Behavior with a Walrasian Auctioneer 303
    3. Price and Wealth Behavior with a Market Maker ...

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