THE IDENTIFICATION OF BELIEFS FROM ASSET DEMAND

• 成果类型: Article
• 署名作者: Kubler, Felix; Polemarchakis, Herakles
• 署名单位: University of Zurich; Swiss Finance Institute (SFI); University of Warwick
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA13880
• 发表日期: 2017
• 页码: 1219-1238
• 关键词: preferences; BEHAVIOR; Recoverability; RECOVERY; utility; MARKET; tests

摘要

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.