The Identification of Beliefs From Asset Demand

Felix Kubler and Herakles Polemarchakis

Econometrica, 2017, vol. 85, 1219-1238

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 (attitudes towards risk) 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.

Date: 2017
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Working Paper: The identification of beliefs from asset demand (2015)
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