发帖
雷达卡
摘要翻译：
本文研究了一个异构信念模型，在该模型中存在一个过程，该过程只被主体部分地观察到。经济包含一种风险资产，在时间上不断产生红利。红利由代理人遵守。红利被假定为其他一些未观察到的过程的已知函数。代理使用过滤来估计这个未观察到的过程的值。主体对未观测过程的动力学有不同的信念，因此形成不同的估计。我们对该模型进行了分析，得到了状态价格密度。我们用这个来推导无风险率。我们还用一系列微分方程的解来刻画风险资产的价格。
---
英文标题：
《Heterogeneous Beliefs with Partial Observations》
---
作者：
A. A. Brown
---
最新提交年份：
2009
---
分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
--
---
英文摘要：
This paper examines a heterogeneous beliefs model in which there is a process that is only partially observed by the agents. The economy contains a risky asset producing dividends continuously in time. The dividends are observed by the agents. The dividends are assumed to be a known function of some other unobserved process. The agents use filtering to estimate the value of this unobserved process. The agents have different beliefs about the dynamics of the unobserved process and therefore form different estimates. We analyse this model and derive the state price density. We use this to derive the riskless rate. We also characterise the price of the risky asset in terms of the solution of a series of differential equations.
---
PDF链接：
https://arxiv.org/pdf/0907.4950
京公网安备 11010802022788号
