Robust identification of investor beliefs

DOI10.1073/PNAS.2019910117MaRDI QIDQ5073243zbMATH OpenOpenAlexFDO

Authors Xiaohong Chen, Lars Peter Hansen, Peter G. Hansen

Publication date 5 May 2022

Published in Proceedings of the National Academy of Sciences (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1073/pnas.2019910117

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Large deviations (60F10) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited in

(3)

• The identification of beliefs from asset demand
• Robust inference for moment condition models without rational expectations
• Recovering investor expectations from demand for index funds

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