<div class="csl-bib-body">
<div class="csl-entry">Dubey, A. (2014). <i>Heterogeneous beliefs, relative wealth concerns, and Sharpe ratios</i> [Master Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2014.24926</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2014.24926
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/4264
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dc.description.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.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
heterogeneous beliefs
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dc.subject
relative wealth index
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dc.subject
Sharpe ratio
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dc.subject
state price densities
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dc.title
Heterogeneous beliefs, relative wealth concerns, and Sharpe ratios