Detailansicht
Imperfect Information and Investor Heterogeneity in the Bond Market
Contributions to Economics
ISBN/EAN: 9783790812473
Umbreit-Nr.: 1443852
Sprache:
Englisch
Umfang: viii, 118 S.
Format in cm:
Einband:
kartoniertes Buch
Erschienen am 17.11.1999
- Zusatztext
- InhaltsangabeInformation.- Equilibrium with Imperfect Information and Complete Asset Markets in Continuous Time: Introduction; A Competitive Financial Market with Imperfect Information; Martingale Representation Theorem for the Innovation Process; The Existence of an Arrow-Debreu Equilibrium, Pareter Efficiency and the Representation Agent; Completeness of the Market and Existence of a Financial Equilibrium; Pricing Redundant Securities and the Term Structure of Interest Rates.- Heterogeneous Time Preferences - Preferred Habitat Theory Revisited: Modeling Preferred Habitat Time Preferences; A Model with Heterogeneous Time Preferences; Equilibrium; Analysis of the Term Structure; The Demand for Long-Term Bonds.- Imperfect Information: The Term Structure when the Growth Rate is Unknown: The Model; Estimating the Drift; Equilibrium with Perfect and Imperfect Information; The Yield Curve with Normal and Bernoulli Prior Beliefs; General Prior Beliefs.- Bulls and Bears: Heterogeneous Expectations: Setup; Equilibrium; Two Examples.