Derivazione del modello dei valori attesi tramite procedura aggregativa dinamica

Abstract

The poor capability of the PVM to reproduce the asset price volatility can be due to the representative agent hypothesis. The solution here proposed is based on the microfundation of the PVM. We remove the representative agent hypothesis and define microutility functions, with individual risk aversion coefficient and consumption, which is assumed to be an autoregressive process. By the dynamic aggregation of the microutility functions we obtain an ARMAX model. The new version of PVM, derived from the macroutility function, can take past consumption behaviour into account and allows to use the previsional capability of the ARMAX process. Therefore the PVM can make better forecasts of asset prices and can help to solve the measurement problem of price volatility.