Heterogeneous Beliefs and Risk-Neutral Skewness
نویسندگان
چکیده
منابع مشابه
Prediction Market Accuracy under Risk Aversion and Heterogeneous Beliefs ∗
In this paper, we characterize the equilibrium price of a prediction market in which risk averse traders have heterogeneous beliefs in probabilities. We show that the prediction market is accurate, in the sense that the equilibrium price equals the mean beliefs of traders, if and only if the utility function of traders is logarithmic. We also provide a necessary and sufficient condition for the...
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This chapter reviews the quickly growing literature that builds on heterogeneous beliefs, a widely observed attribute of individuals, to explain bubbles, crises, and endogenous risk in financial markets. * This chapter is prepared for Handbook for Systemic Risk edited by Jean-Pierre Fouque and Joe Langsam. I thank Hersh Shefrin for helpful editorial suggestions.
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ژورنال
عنوان ژورنال: Journal of Financial and Quantitative Analysis
سال: 2012
ISSN: 0022-1090,1756-6916
DOI: 10.1017/s0022109012000269