TY  - UNPD
A1  - Branger, Nicole
A1  - Schlag, Christian
A1  - Wu, Lue
T1  - 'Nobody is perfect': asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
T2  - SAFE working paper series ; No. 114
N2  - n this paper we analyze an economy with two heterogeneous investors who both exhibit misspecified filtering models for the unobservable expected growth rate of the aggregated dividend. A key result of our analysis with respect to long-run investor survival is that there are degrees of model misspecification on the part of one investor for which there is no compensation by the other investor's deficiency. The main finding with respect to the asset pricing properties of our model is that the two dimensions of asset pricing and survival are basically independent. In scenarios when the investors are more similar with respect to their expected consumption shares, return volatilities can nevertheless be higher than in cases when they are very different.
T3  - SAFE working paper - 114 
KW  - General Equilibrium
KW  - Asset Allocation
KW  - Learning
KW  - Different Beliefs
KW  - Over-Confidence
Y1  - 2015
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/38638
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-386381
UR  - http://ssrn.com/abstract=2642274
PB  - SAFE
CY  - Frankfurt am Main
ER  -