Title: Heterogeneous beliefs, relative wealth concerns, and Sharpe ratios
Language: English
Authors: Dubey, Ashim 
Qualification level: Diploma
Keywords: heterogeneous beliefs; relative wealth index; Sharpe ratio; state price densities
Advisor: Reiter, Michael 
Issue Date: 2014
Number of Pages: 40
Qualification level: Diploma
Abstract: 
This work considers a continuous time pure exchange economy where the agents have heterogeneous beliefs about the aggregate dividend pro- cess and also care about relative wealth concerns. It is shown, analytically, that in the special case where the agents have logarithmic utility, the rel- ative wealth concerns do not in uence the equilibrium. Another special case is considered where the agents' risk aversion parameter is 2 and it is shown that the Sharpe ratios are time-dependent and the final wealth state dependent.
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-65764
http://hdl.handle.net/20.500.12708/4264
Library ID: AC11759434
Organisation: E017 - Weiterbildungszentrum der TU Wien 
Publication Type: Thesis
Hochschulschrift
Appears in Collections:Thesis

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