Imperfect information and investor heterogeneity in the bond market:
Gespeichert in:
1. Verfasser: | |
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Format: | Abschlussarbeit Buch |
Sprache: | German |
Veröffentlicht: |
Heidelberg
Physica-Verl.
2000
|
Schriftenreihe: | Contributions to economics
|
Schlagworte: | |
Online-Zugang: | Inhaltsverzeichnis |
Beschreibung: | VIII, 113 S. graph. Darst. |
ISBN: | 3790812471 |
Internformat
MARC
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245 | 1 | 0 | |a Imperfect information and investor heterogeneity in the bond market |c Frank Riedel |
264 | 1 | |a Heidelberg |b Physica-Verl. |c 2000 | |
300 | |a VIII, 113 S. |b graph. Darst. | ||
336 | |b txt |2 rdacontent | ||
337 | |b n |2 rdamedia | ||
338 | |b nc |2 rdacarrier | ||
490 | 0 | |a Contributions to economics | |
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999 | |a oai:aleph.bib-bvb.de:BVB01-008752292 |
Datensatz im Suchindex
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adam_text | Contents
Introduction 1
1. Imperfect Information and Complete Asset Markets
in Continuous Time 7
1.1 Introduction 7
1.2 A Competitive Financial Market with Imperfect
Information 9
1.3 Martingale Representation Theorem for the Inno¬
vation Process 18
1.4 The Existence of an Arrow Debreu Equilibrium,
Pareto Efficiency and the Representative Agent ... 24
1.5 Completeness of the Market and Existence of a
Financial Equilibrium 33
1.6 Pricing Redundant Securities and the Term Struc¬
ture of Interest Rates 38
2. Heterogeneous Time Preferences The Preferred Habi¬
tat Theory Revisited 45
2.1 Modeling Preferred Habitat Time Preferences 46
2.2 A Model with Heterogeneous Time Preferences ... 50
2.3 Equilibrium 52
2.4 Analysis of the Term Structure 61
2.4.1 Illustration: Logistic Time Preferences 62
2.5 The Demand for Long Term Bonds 68
3. Imperfect Information: The Term Structure when the
Growth Rate is Unknown 73
3.1 The Model 74
VIII Contents
3.2 Estimating the Drift 75
3.3 Equilibrium with Perfect and Imperfect Informa¬
tion 78
3.4 The Yield Curve with Normal and Bernoulli Prior
Beliefs 82
3.5 General Prior Beliefs 86
4. Bulls and Bears: Heterogeneous Expectations 91
4.1 Setup 93
4.2 Equilibrium 94
4.3 Two Examples 105
4.3.1 Unobservable Constant Drift 105
4.3.2 Stationary Unobservable Drift 107
References Ill
list of Figures 115
|
any_adam_object | 1 |
author | Riedel, Frank |
author_facet | Riedel, Frank |
author_role | aut |
author_sort | Riedel, Frank |
author_variant | f r fr |
building | Verbundindex |
bvnumber | BV012861491 |
callnumber-first | H - Social Science |
callnumber-label | HG4529 |
callnumber-raw | HG4529.R515 2000 |
callnumber-search | HG4529.R515 2000 |
callnumber-sort | HG 44529 R515 42000 |
callnumber-subject | HG - Finance |
classification_rvk | QC 210 QK 600 QK 622 |
classification_tum | WIR 175f |
ctrlnum | (OCoLC)264472978 (DE-599)BVBBV012861491 |
dewey-full | 332.63/2321 |
dewey-hundreds | 300 - Social sciences |
dewey-ones | 332 - Financial economics |
dewey-raw | 332.63/23 21 |
dewey-search | 332.63/23 21 |
dewey-sort | 3332.63 223 221 |
dewey-tens | 330 - Economics |
discipline | Wirtschaftswissenschaften |
format | Thesis Book |
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genre_facet | Hochschulschrift |
id | DE-604.BV012861491 |
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indexdate | 2024-07-09T18:35:01Z |
institution | BVB |
isbn | 3790812471 |
language | German |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008752292 |
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physical | VIII, 113 S. graph. Darst. |
publishDate | 2000 |
publishDateSearch | 2000 |
publishDateSort | 2000 |
publisher | Physica-Verl. |
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series2 | Contributions to economics |
spelling | Riedel, Frank Verfasser aut Imperfect information and investor heterogeneity in the bond market Frank Riedel Heidelberg Physica-Verl. 2000 VIII, 113 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Contributions to economics Zugl.: Berlin, Humboldt-Univ., Diss., 1998 Investment analysis Bond market Interest rates Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Zinsstruktur (DE-588)4067855-6 gnd rswk-swf Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd rswk-swf Heterogenität (DE-588)4201275-2 gnd rswk-swf Unvollkommene Information (DE-588)4140474-9 gnd rswk-swf Mikroökonomisches Modell (DE-588)4125908-7 gnd rswk-swf Zeitpräferenz (DE-588)4190616-0 gnd rswk-swf Erwartung (DE-588)4015434-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Zinsstruktur (DE-588)4067855-6 s Unvollkommener Kapitalmarkt (DE-588)4124366-3 s DE-604 Kapitalmarkt (DE-588)4029578-3 s Zeitpräferenz (DE-588)4190616-0 s Heterogenität (DE-588)4201275-2 s Mikroökonomisches Modell (DE-588)4125908-7 s Erwartung (DE-588)4015434-8 s Unvollkommene Information (DE-588)4140474-9 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008752292&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
spellingShingle | Riedel, Frank Imperfect information and investor heterogeneity in the bond market Investment analysis Bond market Interest rates Kapitalmarkt (DE-588)4029578-3 gnd Zinsstruktur (DE-588)4067855-6 gnd Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd Heterogenität (DE-588)4201275-2 gnd Unvollkommene Information (DE-588)4140474-9 gnd Mikroökonomisches Modell (DE-588)4125908-7 gnd Zeitpräferenz (DE-588)4190616-0 gnd Erwartung (DE-588)4015434-8 gnd |
subject_GND | (DE-588)4029578-3 (DE-588)4067855-6 (DE-588)4124366-3 (DE-588)4201275-2 (DE-588)4140474-9 (DE-588)4125908-7 (DE-588)4190616-0 (DE-588)4015434-8 (DE-588)4113937-9 |
title | Imperfect information and investor heterogeneity in the bond market |
title_auth | Imperfect information and investor heterogeneity in the bond market |
title_exact_search | Imperfect information and investor heterogeneity in the bond market |
title_full | Imperfect information and investor heterogeneity in the bond market Frank Riedel |
title_fullStr | Imperfect information and investor heterogeneity in the bond market Frank Riedel |
title_full_unstemmed | Imperfect information and investor heterogeneity in the bond market Frank Riedel |
title_short | Imperfect information and investor heterogeneity in the bond market |
title_sort | imperfect information and investor heterogeneity in the bond market |
topic | Investment analysis Bond market Interest rates Kapitalmarkt (DE-588)4029578-3 gnd Zinsstruktur (DE-588)4067855-6 gnd Unvollkommener Kapitalmarkt (DE-588)4124366-3 gnd Heterogenität (DE-588)4201275-2 gnd Unvollkommene Information (DE-588)4140474-9 gnd Mikroökonomisches Modell (DE-588)4125908-7 gnd Zeitpräferenz (DE-588)4190616-0 gnd Erwartung (DE-588)4015434-8 gnd |
topic_facet | Investment analysis Bond market Interest rates Kapitalmarkt Zinsstruktur Unvollkommener Kapitalmarkt Heterogenität Unvollkommene Information Mikroökonomisches Modell Zeitpräferenz Erwartung Hochschulschrift |
url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008752292&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
work_keys_str_mv | AT riedelfrank imperfectinformationandinvestorheterogeneityinthebondmarket |