Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance

Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance
Author :
Publisher : Springer Science & Business Media
Total Pages : 205
Release :
ISBN-10 : 9783540247555
ISBN-13 : 3540247556
Rating : 4/5 (55 Downloads)

Book Synopsis Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance by : Alexandre C. Ziegler

Download or read book Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance written by Alexandre C. Ziegler and published by Springer Science & Business Media. This book was released on 2012-11-02 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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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