Aggregation of Heterogenous Beliefs, Asset Pricing, and Risk Sharing in Complete Financial Markets
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DOI: 10.1016/j.rie.2017.01.002
Abstract: Given a competitive equilibrium in complete asset markets, we propose a method that aggregates heterogeneous individual beliefs into a single “market probability,” which, if commonly shared by investors, generates the same marginal valuation of assets… read more here.
Keywords: risk; asset pricing; asset; market ... See more keywords