Newsletter   Secure Checkout   Shopping Cart (0 Items)  
Search:    Welcome Guest! Save up to 30-40% on most items with our awesome everyday discounts!

Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance (Springer Finance) [Hardcover]

Our Price $ 187.06  
Retail Value $ 199.00  
You Save $ 11.94  
Item Number 234954  
Buy New $187.06
Available on the Internet only.

Item description for Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance (Springer Finance) by Alexandre Ziegler...

This book considers the impact of incomplete information and heterogeneous beliefs on investor's optimal portfolio and consumption behavior and equilibrium asset prices. 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 of investors' information need not increase their expected utility and the prices of risky assets. The impact of heterogeneous beliefs on investors' portfolio and consumption behavior and equilibrium asset prices is shown to be non-trivial. Heterogeneous beliefs can explain a number of observed phenomena, such as the fact that equilibrium state-price densities are not log-normal, the "smile" in option implied volatility, and the patterns of implied risk aversion reported recently in the literature. It is also demonstrated that financial markets in general do not aggregate information efficiently, a fact that can explain the equity premium puzzle.

Promise Angels is dedicated to bringing you great books at great prices. Whether you read for entertainment, to learn, or for literacy - you will find what you want at!

Item Specifications...

Pages   198
Est. Packaging Dimensions:   Length: 0.5" Width: 6.25" Height: 9.75"
Weight:   0.96 lbs.
Binding  Hardcover
Release Date   Apr 28, 2003
Publisher   Springer
ISBN  3540003444  
ISBN13  9783540003441  

Availability  148 units.
Availability accurate as of Oct 25, 2016 11:34.
Usually ships within one to two business days from La Vergne, TN.
Orders shipping to an address other than a confirmed Credit Card / Paypal Billing address may incur and additional processing delay.

More About Alexandre Ziegler

Register your artisan biography and upload your photo! Alexandre Ziegler was born in 1975.

Are You The Artisan or Author behind this product?
Improve our customers experience by registering for an Artisan Biography Center Homepage.

Product Categories

1Books > Special Features > Formats
2Books > Special Features > New & Used Textbooks > Business & Finance > Finance
3Books > Subjects > Business & Investing > Business Life > Workplace
4Books > Subjects > Business & Investing > Economics > General
5Books > Subjects > Business & Investing > Finance
6Books > Subjects > Business & Investing > General
7Books > Subjects > Business & Investing > Investing > Options
8Books > Subjects > Professional & Technical > Accounting & Finance > Finance > General

Reviews - What do customers think about Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance (Springer Finance)?

Reinvention of Published Work  Jan 12, 2004
The book has deficiencies that I am sorry to report in the following.
The book is about heterogeneous beliefs. Therefore, a discussion of the
relevant literature would have been appropriate. Unfortunately, the au-
thor does not mention important contributions. I highlight a few omissions.
Mordecai Kurz and his coauthors (1997) have developed a fascinating theory
of heterogeneous, yet rational beliefs. This approach should be part of a
book about the economic implications of heterogeneous beliefs. Stochastic
volatility, to mention just one point that plays also a role in Ziegler's book,
has been shown to arise endogenously in the literature on rational beliefs.
Another approach to heterogeneous beliefs is provided by the recent liter-
ature on 'ambiguity', see Gilboa and Schmeidler (1989), Dow and Werlang
(1992), Epstein and Chen (2002). There, agents are uncertain or ambiguous
about the exact distribution of asset returns. Therefore, they use a whole
class of possible priors and maximize the expected utility under the worst be-
lief. The home bias puzzle, e.g., can be explained by ambiguity, see Epstein
and Miao (2003). Both Kurz's approach as well as the ambiguity literature
have the advantage of having a sound decision theoretic foundation whereas
the assumption of heterogeneous priors is somewhat ad hoc.
Chapter 2 of Ziegler's book has been published before { but not by the
author. In fact, it is the sad reviewer who has published not only that chap-
ter (Riedel (2000a)) but related work earlier(Riedel (2000b), Riedel (2001)).
Parts of Chapter 5 are easy corollaries to Chapter 1 in Riedel (2000b). Un-
fortunately, Ziegler has not read these contributions.

Detemple, J. (1986): Asset Pricing in a Production Economy with Incomplete Information," Journal of Finance, 41, 383-391.
Detemple, J., and R. Kihlstrom (1987): Acquisition d'Information
dans un Modle Intertemporel en Temps Continu," L'Actualite Economique,

63, 118-137.
Dothan, M. U., and D. Feldman (1986): Equilibrium Interest Rates
and Multiperiod Bonds in a Production-Exchange Economy," Journal of
Finance, 41, 369-382.
Dow, J., and S. Werlang (1992): Uncertainty Aversion, Risk Aversion,
and the Optimal Choice of Portfolio," Econometrica, 60(1), 197-204.
Epstein, L., and Z. Chen (2002): Ambiguity, Risk and Asset returns in
Continuous Time," Econometrica, 70, 14031443.
Epstein, L., and J. Miao (2003): A Two-Person dynamic Equilibrium
under Ambiguity," Journal of Economic Dynamics and Control, 27, 1253-
Gilboa, I., and D. Schmeidler (1989): Maxmin Expected Utility with
Non-Unique Prior," Journal of Mathematical Economics, 18, 141{153.
Kurz, M. (ed.) (1997): Endogenous Economic Fluctuations: Studies in the
Theory of Rational Beliefsvol. 6 of Springer Series in Economic Theory,
Heidelberg, New York. Springer.
Riedel, F. (2000a): Decreasing Yield Curves in a Model with an Unknown
Constant Growth Rate," European Finance Review, 4, 51-67.
(2000b): Imperfect Information and Investor Heterogeneity in the
Bond Market. Physica, Heidelberg.
(2001): Existence of Arrow{Radner Equilibrium with Endoge-
nously Complete Markets under Incomplete Information," Journal of Economic Theory, 97, 109-122.


Write your own review about Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance (Springer Finance)

Ask A Question or Provide Feedback regarding Incomplete Information and Heterogeneous Beliefs in Continuous-time Finance (Springer Finance)

Item Feedback and Product Questions
For immediate assistance call 888.395.0572 during the hours of 10am thru 8pm EST Monday thru Friday and a customer care representative will be happy to help you!

Help us continuously improve our service by reporting your feedback or questions below:

I have a question regarding this product
The information above is incorrect or conflicting
The page has misspellings or incorrect grammar
The page did not load correctly in my browser or created an error.

Email Address:
Anti Spam Question. To combat spammers we require that you answer a simple question.
What color is the sky?
Leave This Blank :
Do Not Change This Text :

Add This Product Widget To Your Website

Looking to add this information to your own website? Then use our Product Widget to allow you to display product information in a frame that is 120 pixels wide by 240 pixels high.

    Copy and paste the following HTML into your website and enjoy!

Order toll-free weekdays 10am thru 10pm EST by phone: 1-888-395-0572 (Lines are closed on holidays & weekends.)
Customer Service | My Account | Track My Orders | Return Policy | Request Free Catalog | Email Newsletter

Gift Certificates
RSS Feeds
About Us
Contact Us
Terms Of Use
Privacy Policy