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Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance 2024 pdf epub mobi 电子书

Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance
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发表于2024-11-25

Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance 2024 pdf epub mobi 电子书

Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance 2024 pdf epub mobi 电子书

Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance 2024 pdf epub mobi 电子书


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出版者:Springer
作者:Alexandre C. Ziegler
出品人:
页数:218
译者:
出版时间:2003-2-26
价格:GBP 126.50
装帧:Hardcover
isbn号码:9783540003441
丛书系列:

图书标签: 金融  未电  2010   

Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance 2024 pdf epub mobi 电子书 图书描述

This book considers the impact of incomplete information and heterogeneous beliefs on investor's optimal portfolio and consumption behavior and equilibrium asset prices. After a brief review of the existing incomplete information literature, the effect of incomplete information on investors' exptected utility, risky asset prices, and interest rates is described. It is demonstrated that increasing the quality of investors' information need not increase their expected utility and the prices of risky assets. The impact of heterogeneous beliefs on investors' portfolio and consumption behavior and equilibrium asset prices is shown to be non-trivial. Heterogeneous beliefs can explain a number of observed phenomena, such as the fact that equilibrium state-price densities are not log-normal, the "smile" in option implied volatility, and the patterns of implied risk aversion reported recently in the literature. It is also demonstrated that financial markets in general do not aggregate information efficiently, a fact that can explain the equity premium puzzle.

Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance 2024 pdf epub mobi 电子书
Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance 2024 pdf epub mobi 电子书
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