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.
|Advisor:||Ploberger, Werner, Nachbar, John|
|Commitee:||Berliant, Marcus, Hamilton, Bart, Natenzon, Paulo, Said, Maher|
|School:||Washington University in St. Louis|
|School Location:||United States -- Missouri|
|Source:||DAI-A 74/08(E), Dissertation Abstracts International|
|Keywords:||Asset pricing, General equilibrium, Learning, Market selection|
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