Home » Incomplete Information and Heterogeneous Beliefs in Continuous-Time Finance by Alexandre C. Ziegler
Incomplete Information and Heterogeneous Beliefs in Continuous-Time Finance Alexandre C. Ziegler

Incomplete Information and Heterogeneous Beliefs in Continuous-Time Finance

Alexandre C. Ziegler

Published October 21st 2010
ISBN : 9783642055676
Paperback
198 pages
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 About the Book 

After a brief review of the existing incomplete information literature, the effect of incomplete information on investors exptected utility, risky asset prices, and interest rates is described. It is demonstrated that increasing the quality ofMoreAfter a brief review of the existing incomplete information literature, the effect of incomplete information on investors exptected utility, risky asset prices, and interest rates is described. It is demonstrated that increasing the quality of investors information need not increase their expected utility and the prices of risky assets. The impact of other factors is discussed in detail. It is also demonstrated that financial markets in general do not aggregate information efficiently, a fact that can explain the equity premium puzzle.