The identification of beliefs from asset demand

Felix Kubler and Herakles Polemarchakis
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Herakles Polemarchakis: Department of Economics, University of Warwick

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: The demand for assets as prices and initial wealth vary identifies beliefs and attitudes towards risk. We derive conditions that guarantee identification with no knowledge either of the cardinal utility index or of the distribution of future endowments or payoffs of assets ; the argument applies even if the asset market is incomplete and demand is observed only locally.

Keywords: asset prices; beliefs; attitudes towards risk (search for similar items in EconPapers)
JEL-codes: D80 G10 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-upt
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Related works:
Journal Article: The Identification of Beliefs From Asset Demand (2017)
Working Paper: The identification of beliefs from asset demand (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:1087

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