Author | Ziegler, Alexandre. author |
---|---|
Title | Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance [electronic resource] / by Alexandre Ziegler |
Imprint | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2003 |
Connect to | http://dx.doi.org/10.1007/978-3-540-24755-5 |
Descript | XIII, 198 p. online resource |
1 Incomplete Information: An Overview -- 1.1 Introduction -- 1.2 Portfolio Choice -- 1.3 The Term Structure of Interest Rates -- 1.4 Equilibrium Asset Pricing -- 1.5 Conclusion and Outlook -- 2 The Impact of Incomplete Information on Utility, Prices, and Interest Rates -- 2.1 Introduction -- 2.2 The Model -- 2.3 Equilibrium -- 2.4 Logarithmic Utility -- 2.5 Power Utility -- 2.6 Information, Utility, Prices, and Interest Rates: A Synthesis -- 2.7 Time-Varying Parameters -- 2.8 Conclusion -- 3 Optimal Portfolio Choice Under Heterogeneous Beliefs -- 3.1 Introduction -- 3.2 The Model -- 3.3 The Deviant Agentโs Problem -- 3.4 Optimal Portfolio Choice -- 3.5 An Example -- 3.6 Conclusion -- 4 Optimal Consumption Under Heterogeneous Beliefs -- 4.1 Introduction -- 4.2 The Cox-Huang Methodology -- 4.3 Heterogeneous Beliefs -- 4.4 An Example -- 4.5 Portfolios and Consumption: A Synthesis -- 4.6 Conclusion -- 5 Equilibrium Asset Pricing Under Heterogeneous Beliefs -- 5.1 Introduction -- 5.2 The Model -- 5.3 Equilibrium Consumption -- 5.4 Equilibrium Prices -- 5.5 Implied Risk Aversion -- 5.6 Conclusion -- 6 Costly Information, Imperfect Learning, and Information Aggregation -- 6.1 Introduction -- 6.2 The Model -- 6.3 Portfolio Choice under Costly Information -- 6.4 Equilibrium Asset Pricing -- 6.5 Information Aggregation and the Equity Premium -- 6.6 Conclusion -- 7 Summary and Conclusion -- C The Short Rate Under Heterogeneous Beliefs -- References -- List of Figures -- List of Tables -- List of Symbols