MARKET SELECTION STUDIES the evolution of capital shares among traders with heterogeneous beliefs operating in a market. For the case of complete markets, allowing for heterogeneous discount factors and learning, Theorem 8 in Blume and Easley (2006; henceforward B–E) provides a sufficient condition for the wealth share of a trader to converge to 0 (vanish). I show by means of a counterexample that Theorem 8 is incorrect.
Massari, Filippo (2013). Comment on If You're so Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets. ECONOMETRICA, 81(2), 849-851.
Comment on If You're so Smart, Why Aren't You Rich? Belief Selection in Complete and Incomplete Markets
Massari Filippo
2013
Abstract
MARKET SELECTION STUDIES the evolution of capital shares among traders with heterogeneous beliefs operating in a market. For the case of complete markets, allowing for heterogeneous discount factors and learning, Theorem 8 in Blume and Easley (2006; henceforward B–E) provides a sufficient condition for the wealth share of a trader to converge to 0 (vanish). I show by means of a counterexample that Theorem 8 is incorrect.File in questo prodotto:
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