The identification of beliefs from asset demand

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

CRETA Online Discussion Paper Series from Centre for Research in Economic Theory and its Applications CRETA

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 JEL Classification Numbers: D80; G10 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-upt
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https://warwick.ac.uk/fac/soc/economics/research/c ... rom_asset_demand.pdf

Related works:
Journal Article: The Identification of Beliefs From Asset Demand (2017)
Working Paper: The identification of beliefs from asset demand (2015)
Working Paper: The identification of beliefs from asset demand (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:wcreta:01

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