Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance
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...
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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 other factors is discussed in detail. It is also demonstrated that financial markets in general do not aggregate information efficiently, a fact that can explain the equity premium puzzle.
- The Impact of Incomplete Information on Utility, Prices, and Interest Rates
- Optimal Portfolio Choice Under Heterogeneous Beliefs
- Optimal Consumption Under Heterogeneous Beliefs
- Equilibrium Asset Pricing Under Heterogeneous Beliefs
- Costly Information, Imperfect Learning, and Information Aggregation
- Summary and Conclusion.
- Autor: Alexandre C. Ziegler
- 2003, 198 Seiten, 51 Abbildungen, Maße: 16,4 x 24,2 cm, Gebunden, Englisch
- Verlag: Springer
- ISBN-10: 3540003444
- ISBN-13: 9783540003441
- Erscheinungsdatum: 26.02.2003
"The book is mainly addressed to researchers and graduate students in the fields of economics or finance. However, interested practitioners may also be counted to its target audience. ... the book presents an interesting source for those readers interested in the interplay of (micro-) economics and finance, ie. of incomplete information, heterogeneous beliefs and continuous-time financial models." (Klaus Schürger, Zentralblatt MATH, Vol. 1074, 2005)
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