Heterogeneous Beliefs And Asset Pricing In Discrete Time
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Author | : Clotilde Napp |
Publisher | : |
Total Pages | : 36 |
Release | : 2015 |
Genre | : |
ISBN | : |
The aim of the paper is to analyze the impact of heterogeneous beliefs in an otherwise standard competitive complete markets discrete time economy. The construction of a consensus belief, as well as a consensus consumer are shown to be valid modulo a predictable aggregation bias, which takes the form of a discount factor. We use our construction of a consensus consumer to investigate the impact of beliefs heterogeneity on the CCAPM and on the expression of the risk free rate. We focus on the pessimism/doubt of the consensus consumer and we study their impact on the equilibrium characteristics (market price of risk, risk free rate). We finally analyze how pessimism and doubt at the aggregate level result from pessimism and doubt at the individual level.
Author | : Miroslav Verbič |
Publisher | : |
Total Pages | : |
Release | : 2012 |
Genre | : Mathematics |
ISBN | : |
Memory and Asset Pricing Models with Heterogeneous Beliefs.
Author | : Kerry Back |
Publisher | : Oxford University Press |
Total Pages | : 504 |
Release | : 2010-09-10 |
Genre | : Business & Economics |
ISBN | : 0199939071 |
In Asset Pricing and Portfolio Choice Theory, Kerry E. Back at last offers what is at once a welcoming introduction to and a comprehensive overview of asset pricing. Useful as a textbook for graduate students in finance, with extensive exercises and a solutions manual available for professors, the book will also serve as an essential reference for scholars and professionals, as it includes detailed proofs and calculations as section appendices. Topics covered include the classical results on single-period, discrete-time, and continuous-time models, as well as various proposed explanations for the equity premium and risk-free rate puzzles and chapters on heterogeneous beliefs, asymmetric information, non-expected utility preferences, and production models. The book includes numerous exercises designed to provide practice with the concepts and to introduce additional results. Each chapter concludes with a notes and references section that supplies pathways to additional developments in the field.
Author | : Carl Chiarella |
Publisher | : |
Total Pages | : 38 |
Release | : 1999 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : William A. Brock |
Publisher | : |
Total Pages | : 40 |
Release | : 1999 |
Genre | : Assets (Accounting) |
ISBN | : |
Author | : Suleyman Basak |
Publisher | : |
Total Pages | : 35 |
Release | : 2004 |
Genre | : |
ISBN | : |
This article studies the dynamic behavior of security prices in the presence of investors' heterogeneous beliefs. We provide a tractable continuous-time pure-exchange model and highlight the mechanism through which investors' differences of opinion enter into security prices. In the determination of equilibrium, we employ a representative investor with stochastic weights and solve for all economic quantities in closed form, including the perceived market prices of risk and interest rate. The basic analysis is generalized to incorporate multiple sources of risk, disagreement about nonfundamentals, and multiple investors. Other applications involving multiple goods and nominal asset pricing within monetary economies are discussed.
Author | : Carl Chiarella |
Publisher | : |
Total Pages | : 42 |
Release | : 2000 |
Genre | : Capital assets pricing model |
ISBN | : |
Author | : Kerry E. Back |
Publisher | : Oxford University Press |
Total Pages | : 608 |
Release | : 2017-01-04 |
Genre | : Business & Economics |
ISBN | : 0190241152 |
In the 2nd edition of Asset Pricing and Portfolio Choice Theory, Kerry E. Back offers a concise yet comprehensive introduction to and overview of asset pricing. Intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level with extensive exercises and a solutions manual available for professors, the book is also an essential reference for financial researchers and professionals, as it includes detailed proofs and calculations as section appendices. The first two parts of the book explain portfolio choice and asset pricing theory in single-period, discrete-time, and continuous-time models. For valuation, the focus throughout is on stochastic discount factors and their properties. A section on derivative securities covers the usual derivatives (options, forwards and futures, and term structure models) and also applications of perpetual options to corporate debt, real options, and optimal irreversible investment. A chapter on "explaining puzzles" and the last part of the book provide introductions to a number of additional current topics in asset pricing research, including rare disasters, long-run risks, external and internal habits, asymmetric and incomplete information, heterogeneous beliefs, and non-expected-utility preferences. Each chapter includes a "Notes and References" section providing additional pathways to the literature. Each chapter also includes extensive exercises.
Author | : Carl Chiarella |
Publisher | : |
Total Pages | : 22 |
Release | : 2006 |
Genre | : Bifurcation theory |
ISBN | : |
Author | : William A. Brock |
Publisher | : |
Total Pages | : 21 |
Release | : 2002 |
Genre | : |
ISBN | : |