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Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance

Bag om Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783642055676
  • Indbinding:
  • Paperback
  • Sideantal:
  • 198
  • Udgivet:
  • 21. Oktober 2010
  • Udgave:
  • 12003
  • Størrelse:
  • 235x155x11 mm.
  • Vægt:
  • 338 g.
  • 8-11 hverdage.
  • 4. Oktober 2024

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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.

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