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SUMMARY:Heterogeneous Beliefs Recovery
DTSTART:20240305T121500
DTEND:20240305T131500
DTSTAMP:20260510T235334Z
UID:6af56dba6524220ad9eb3a1086fb0fcb71028878363f7529de76cf61
CATEGORIES:Conferences - Seminars
DESCRIPTION:Darius Nik Nejad - PhD\, SFI@EPFL\nWe show that\, in a continu
 ous time economy with heterogeneous expectations\, equilibrium prices enti
 rely reveal the wealth weighted distribution of beliefs among market parti
 cipants. Specifically\, our recovery theorem shows that the paths of the d
 ividend rate\, the stock price and the interest rate are enough to pin dow
 n the exact distribution of beliefs and its time evolution. Motivated by 
 this novel finding\, we develop an efficient methodology to approximate th
 e implied distribution of beliefs given discrete time series of prices and
  dividends. The accuracy of our method is confirmed on simulated data and 
 we illustrate its results by using daily S&P500 data to construct the dist
 ribution of beliefs in the U.S. stock market. 
LOCATION:UniL Campus\, Room Extra 126
STATUS:CONFIRMED
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