| 書目名稱 | Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance | | 編輯 | Alexandre Ziegler | | 視頻video | http://file.papertrans.cn/464/463323/463323.mp4 | | 概述 | Heterogenous beliefs are an important factor in pricing financial assets..This book shows the impact of heterogenous beliefs on investor‘s portfolio, consumption behavior and on equilibrium asset pric | | 叢書名稱 | Springer Finance | | 圖書封面 |  | | 描述 | Continuous-time finance was developed in the late sixties and early seventies by R. C. Merton. Over the years, due to its elegance and analytical conve- nience, the continuous-time paradigm has become the standard tool of anal- ysis in portfolio theory and asset pricing. However, and probably because it was developed hand in hand with option pricing, in which investors‘ expecta- tions were thought not to matter, continuous-time finance has for a long time almost entirely neglected investors‘ beliefs. More recently, the development of martingale pricing techniques, in which expectations playa dominant role, and the blurring boundary between those methods and the original methods of continuous-time finance based on the Ito calculus, have allowed expecta- tions to regain their central role in finance. The habilitation thesis of Professor Alexandre Ziegler is entirely devoted to the role of expectations in continuous-time finance. After a brief review of the literature, the author analyzes the consequences of incomplete informa- tion and heterogeneous beliefs for optimal portfolio and consumption choice and equilibrium asset pricing. Relaxing the assumption that investors can ob- serve | | 出版日期 | Book 2003 | | 關鍵詞 | Asset Pricing; Equity Premium; Finance; Heterogeneous Beliefs; Incomplete Information; Option Pricing; qua | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-540-24755-5 | | isbn_softcover | 978-3-642-05567-6 | | isbn_ebook | 978-3-540-24755-5Series ISSN 1616-0533 Series E-ISSN 2195-0687 | | issn_series | 1616-0533 | | copyright | Springer-Verlag Berlin Heidelberg 2003 |
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