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Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance

Alexandre C. Ziegler
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      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.
      Format: Hardback CONTRIBUTORS: Alexandre C. Ziegler EAN: 9783540003441 COUNTRY: Germany PAGES: WEIGHT: 1070 g HEIGHT: 235 cm
      PUBLISHED BY: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG DATE PUBLISHED: 2003-02-26 CITY: GENRE: BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / Applied WIDTH: 155 cm SPINE:

      Book Themes:

      Economics, Finance, Business and Management, Finance and the finance industry, Applied mathematics

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      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.
      Format: Hardback CONTRIBUTORS: Alexandre C. Ziegler EAN: 9783540003441 COUNTRY: Germany PAGES: WEIGHT: 1070 g HEIGHT: 235 cm
      PUBLISHED BY: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG DATE PUBLISHED: 2003-02-26 CITY: GENRE: BUSINESS & ECONOMICS / Finance / General, MATHEMATICS / Applied WIDTH: 155 cm SPINE:

      Book Themes:

      Economics, Finance, Business and Management, Finance and the finance industry, Applied mathematics

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      Be the first to write a review
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