Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance:
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2003
|
| Series: | Springer Finance
|
| Subjects: | |
| Online Access: | Volltext |
| Item Description: | 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 convenience, the continuous-time paradigm has become the standard tool of analysis in portfolio theory and asset pricing. However, and probably because it was developed hand in hand with option pricing, in which investors' expectations 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 expectations 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 information and heterogeneous beliefs for optimal portfolio and consumption choice and equilibrium asset pricing. Relaxing the assumption that investors can observe expected dividend growth perfectly, the author shows that incomplete information affects stock prices and their dynamics, thus providing a potential explanation for the asset price bubble of the late 1990s. He also demonstrates how the presence of heterogeneous beliefs among investors affects their optimal portfolios and their optimal consumption patterns |
| Physical Description: | 1 Online-Ressource (XIII, 198 p) |
| ISBN: | 9783540247555 9783642055676 |
| ISSN: | 1616-0533 |
| DOI: | 10.1007/978-3-540-24755-5 |
Staff View
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| id | DE-604.BV042422391 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:11Z |
| institution | BVB |
| isbn | 9783540247555 9783642055676 |
| issn | 1616-0533 |
| language | English |
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| publisher | Springer Berlin Heidelberg |
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| series2 | Springer Finance |
| spelling | Ziegler, Alexandre Verfasser aut Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance by Alexandre Ziegler Berlin, Heidelberg Springer Berlin Heidelberg 2003 1 Online-Ressource (XIII, 198 p) txt rdacontent c rdamedia cr rdacarrier Springer Finance 1616-0533 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 convenience, the continuous-time paradigm has become the standard tool of analysis in portfolio theory and asset pricing. However, and probably because it was developed hand in hand with option pricing, in which investors' expectations 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 expectations 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 information and heterogeneous beliefs for optimal portfolio and consumption choice and equilibrium asset pricing. Relaxing the assumption that investors can observe expected dividend growth perfectly, the author shows that incomplete information affects stock prices and their dynamics, thus providing a potential explanation for the asset price bubble of the late 1990s. He also demonstrates how the presence of heterogeneous beliefs among investors affects their optimal portfolios and their optimal consumption patterns Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft https://doi.org/10.1007/978-3-540-24755-5 Verlag Volltext |
| spellingShingle | Ziegler, Alexandre Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft |
| title | Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance |
| title_auth | Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance |
| title_exact_search | Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance |
| title_full | Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance by Alexandre Ziegler |
| title_fullStr | Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance by Alexandre Ziegler |
| title_full_unstemmed | Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance by Alexandre Ziegler |
| title_short | Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance |
| title_sort | incomplete information and heterogeneous beliefs in continuous time finance |
| topic | Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft |
| topic_facet | Economics Finance Economics/Management Science Finance/Investment/Banking Quantitative Finance Management Wirtschaft |
| url | https://doi.org/10.1007/978-3-540-24755-5 |
| work_keys_str_mv | AT ziegleralexandre incompleteinformationandheterogeneousbeliefsincontinuoustimefinance |