Robust identification of investor beliefs

DOI10.1073/PNAS.2019910117zbMATH Open1485.91224OpenAlexW3031409116MaRDI QIDQ5073243FDOQ5073243

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)

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

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• The identification of beliefs from asset demand
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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)

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

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