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英文文献：Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs-动态的连续交易有效地使异质信念的市场完整
英文文献作者：Zhenjiang Qin
英文文献摘要：
In a framework of heterogeneous beliefs, I investigate a two-date consumption model with continuous trading over the interval [0; T], in which information on the aggregate consumption at time T is revealed by an Ornstein-Uhlenbeck Bridge. This information structure allows investors to speculate on the heterogeneous posterior variance of dividend throughout [0; T). The market populated with many time-additive exponential-utility investors is dynamically effectively complete, if investors are allowed to trade in only two long-lived securities continuously. The underlying mechanism is that these assumptions imply that the Pareto efficient individual consumption plans are measurable with respect to the aggregate consumption. Hence, I may not need a dynamically complete market to facilitate a Pareto efficient allocation of consumption, the securities only have to facilitate an allocation which is measurable with respect to the aggregate consumption. With normally distributed dividend, the equilibrium stock price is endogenized in a Radner equilibrium as a precision weighted average of the investors? posterior mean minus a risk premium determined by the average posterior precision. The stock price is also a sufficient statistic for computation of the price of redundant dividend derivative and the equilibrium portfolios. The investors form their Pareto optimal trading strategies as if they intend to dynamically endogenously replicate the value of the dividend derivative.
在异质信念的框架下，我研究了一个连续交易的两日期消费模型[0;T]，其中关于T时刻总消费的信息是由奥恩斯坦-乌伦贝克桥揭示的。这种信息结构允许投资者对整个股利的异质后验方差进行推测[0;T).如果投资者被允许连续交易两种长期证券，由许多时间加性指数效用投资者构成的市场是动态有效完备的。潜在的机制是，这些假设意味着帕累托有效的个人消费计划是可衡量的总消费。因此，我可能不需要一个动态完整的市场来促进帕累托有效的消费分配，证券只需要促进一个相对于总消费可衡量的分配。在正态股利分配的情况下，均衡股价内化在拉德纳均衡中，是投资者的精确加权平均。后验均值减去由平均后验精度决定的风险溢价。股票价格也是计算冗余股利衍生品和均衡组合价格的充分统计量。投资者形成帕累托最优交易策略，就好像他们打算动态地内生性复制股息衍生品的价值。
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