Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance

Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance

Description

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.


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Details

Author(s)
Alexandre C. Ziegler
Format
Paperback | 198 pages
Dimensions
155 x 235 x 11.43mm | 338g
Publication date
21 Oct 2010
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Publication City/Country
Berlin, Germany
Language
English
Edition Statement
Softcover reprint of hardcover 1st ed. 2003
Illustrations note
8 Tables, black and white; XIII, 198 p.
ISBN10
3642055672
ISBN13
9783642055676