search query: @author Bernardo, A.E. / total: 2
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| Author: | Bernardo, A.E. Judd, K.L. |
| Title: | Asset market equilibrium with general tastes, returns, and informational asymmetries |
| Journal: | Journal of Financial Markets
2000 : FEB, VOL. 3:1, p. 17-43 |
| Index terms: | Information Assets Markets Methodology Models |
| Language: | eng |
| Abstract: | This paper develops a general computational approach for solving rational expectations equilibrium in asset markets with asymmetric information. The paper's approach can be applied to models with arbitrary specifications of tastes, return distributions, and information structures. The methodology is demonstrated by examining a variation of the canonical Grossman and Stiglitz. It is found that the results in Grossman and Stiglitz are not robust to changes in the parametric assumptions. The speed and accuracy displayed by our computational methods indicates that more complex problems are tractable. |
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