The tradeoff between risk sharing and information production in financial markets

DOI10.1016/j.jet.2008.03.009zbMath1202.91101OpenAlexW2164870359MaRDI QIDQ848610

Joel Peress

Publication date: 4 March 2010

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2008.03.009

zbMATH Keywords

learningasymmetric informationnon-expected utilityrisk sharingKreps-Porteus preferencesinformation choiceshareholder base expansion

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economics of information (91B44) Actuarial science and mathematical finance (91G99)

Related Items (2)

Market composition and price informativeness in a large market with endogenous order types ⋮ Should we regulate financial information?

Cites Work

• On the aggregation of information in competitive markets
• Temporal von Neumann-Morgenstern and induced preferences
• Information accumulation in development
• Sorting in risk-aversion and asset price volatility
• Slow boom, sudden crash
• The Demand for Information and the Distribution of Income
• Information Acquisition and Under-Diversification
• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• Continuous Auctions and Insider Trading
• Information Acquisition in a Noisy Rational Expectations Economy
• A Model of Growth Through Creative Destruction
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Informational Cycles
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Discounted linear exponential quadratic Gaussian control
• Robust Permanent Income and Pricing
• Precautionary Savings and the Permanent Income Hypothesis
• Information Markets and the Comovement of Asset Prices

This page was built for publication: The tradeoff between risk sharing and information production in financial markets