Effects of financial innovations on market volatility when beliefs are heterogeneous
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Cites work
- A generalized clark representation formula, with application to optimal portfolios
- A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
- A Model of Intertemporal Asset Prices Under Asymmetric Information
- A Note On Utility Maximization Under Partial Observations1
- An Asymptotic Theory of Growth Under Uncertainty
- An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
- An Intertemporal General Equilibrium Model of Asset Prices
- Arbitrage, Short Sales, and Financial Innovation
- Asset Prices in an Exchange Economy
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Continuous Auctions and Insider Trading
- Excess price volatility and financial innovation
- Financial market innovation and security design: An introduction
- Further results on asset pricing with incomplete information
- scientific article; zbMATH DE number 4091139 (Why is no real title available?)
- scientific article; zbMATH DE number 3567644 (Why is no real title available?)
- Intertemporal asset pricing with heterogeneous beliefs
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Martingales and arbitrage in multiperiod securities markets
- On the optimality of equilibrium when the market structure is incomplete
- On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimum consumption and portfolio rules in a continuous-time model
- The Consumption-Based Capital Asset Pricing Model
Cited in
(25)- Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy
- A theory of optimal timing and selectivity
- Equilibrium asset prices and exchange rates
- A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
- Consumption-based CAPM with belief heterogeneity
- Cross-sectional asset pricing with heterogeneous preferences and beliefs
- New financial markets: who gains and who loses
- The behavior of individual and aggregate stock prices
- Heterogeneous beliefs, monetary policy, and stock price volatility
- Survival in speculative markets
- Incomplete information equilibria: separation theorems and other myths
- Excess price volatility and financial innovation
- Ambiguity, asset prices, and excess volatility in a pure-exchange economy
- Diverse beliefs
- Financial leverage and market volatility with diverse beliefs
- Dynamic effects of increasing heterogeneity in financial markets
- Belief aggregation for representative agent models
- The heterogeneous expectations hypothesis: Some evidence from the lab
- Ambiguity-averse aggregation under heterogeneous beliefs
- How to build and solve continuous-time heterogeneous agents models in asset pricing? The martingale approach and the finite difference method
- Heterogeneous beliefs with uninsurable income
- Aggregation of heterogeneous beliefs
- A two-person dynamic equilibrium under ambiguity
- Heterogeneous beliefs and asset pricing in discrete time: an analysis of pessimism and doubt
- Discounting and divergence of opinion
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