Incomplete information equilibria: separation theorems and other myths

DOI10.1007/s10479-006-0119-3zbMath1132.91540OpenAlexW3122129747MaRDI QIDQ2480220

David Feldman

Publication date: 31 March 2008

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-006-0119-3

zbMATH Keywords

asset pricingequilibriumincomplete informationseparationstate variables

Mathematics Subject Classification ID

Related Items (10)

Option implied ambiguity and its information content: evidence from the subprime crisis ⋮ Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) ⋮ Valuation of commodity derivatives with an unobservable convenience yield ⋮ Optimal portfolio and certainty equivalence estimator for the appreciation rate ⋮ Dynamic portfolio choice under ambiguity and regime switching mean returns ⋮ On the structure of multifactor optimal portfolio strategies ⋮ Interest rate options valuation under incomplete information ⋮ Optimal investment under partial information ⋮ Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations ⋮ Mutual fund theorem for continuous time markets with random coefficients

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