Equilibrium and Learning in a non-stationary Environment

  • Klaus Potzelberger, Leopold Sogner
  • Published 2001


This article considers three standard asset pricing models with adaptive agents and stochastic non-stationary dividends. We assume that the parameters are estimated by exponential smoothing, such that prices and returns remain random variables. This paper provides sufcient conditions for the ergodicity of the return process and checks whether the perceived… (More)


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@inproceedings{Potzelberger2001EquilibriumAL, title={Equilibrium and Learning in a non-stationary Environment}, author={Klaus Potzelberger and Leopold Sogner}, year={2001} }