EQUILIBRIUM AND LEARNING IN A NON-STATIONARY ENVIRONMENT

摘要

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 sufficient conditions for the ergodicity of the return process and checks whether the perceived law assumed by the bounded rational agents can be considered to be sound with the returns observed.