Online supplement for “Equilibrium multi-agent model with heterogeneous views on fundamental risks”

Abstract

This supplementary file provides an example of the stochastic process ν satisfying Assumptions 3 and 4 in Section 3, details of the proofs for the Proposition 6 and Lemma 8 in Appendix A, the multi-agent equilibrium in the exponential utility case, and a possible extension to the case of stochastic boundaries on agents’ views.