Equilibrium securitization with diverse beliefs
نویسندگان
چکیده
We study the effects of diverse beliefs on equilibrium securitization under risk neutrality. provide a simple characterization optimal securities. Pooling and tranching assets emerges in as consequence traders' about asset returns. The issuer securities tranches pool, traders sort among according to their beliefs. show how disagreement correlation returns is key factor determining which are pooled.
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ژورنال
عنوان ژورنال: Theoretical Economics
سال: 2022
ISSN: ['1555-7561', '1933-6837']
DOI: https://doi.org/10.3982/te4157