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The identification of beliefs from asset demand
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Kübler, Felix and Polemarchakis, H. M. (2017) The identification of beliefs from asset demand. Econometrica, 85 (4). pp. 1219-1238. doi:10.3982/ECTA13880 ISSN 0012-9682.
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Official URL: http://dx.doi.org/10.3982/ECTA13880
Abstract
The demand for assets as prices and initial wealth vary identifies beliefs and attitudes towards risk. We derive conditions that guarantee identification with no knowledge either of the cardinal utility index (attitudes towards risk) or of the distribution of future endowments or payoffs of assets; the argument applies even if the asset market is incomplete and demand is observed only locally.
Item Type: | Journal Article | ||||||
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Subjects: | H Social Sciences > HG Finance | ||||||
Divisions: | Faculty of Social Sciences > Economics | ||||||
Library of Congress Subject Headings (LCSH): | Finance -- Mathematical models, Risk -- Mathematical models | ||||||
Journal or Publication Title: | Econometrica | ||||||
Publisher: | Blackwell Publishing | ||||||
ISSN: | 0012-9682 | ||||||
Official Date: | 24 July 2017 | ||||||
Dates: |
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Volume: | 85 | ||||||
Number: | 4 | ||||||
Page Range: | pp. 1219-1238 | ||||||
DOI: | 10.3982/ECTA13880 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||
Date of first compliant deposit: | 31 July 2017 | ||||||
Date of first compliant Open Access: | 31 July 2017 | ||||||
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