Equilibrium securitization with diverse beliefs

DOI10.3982/TE4157zbMATH Open1489.91258OpenAlexW4206256651MaRDI QIDQ5087340FDOQ5087340

Authors:

Publication date: 11 July 2022

Published in: Theoretical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/te4157

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zbMATH Keywords

collateralpoolingheterogeneous beliefssecuritizationtranching

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cited In (3)

• Diversification and equilibrium in securities markets
• Belief disagreements and collateral constraints
• Optimal tranching with diverse beliefs

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