论文标题
在异质信念下出现气泡的条件
Conditions for bubbles to arise under heterogeneous beliefs
论文作者
论文摘要
本文研究了与异质投资者在市场上交易的连续时间资产的均衡价格。我们考虑积极的均值振兴资产和两组投资者，他们对平均恢复速度和平均水平具有不同的信念。我们为气泡存在提供了同等条件，并表明即使存在异质信念，价格气泡也可能不会形成。该条件与资产的漂移期限直接相关。此外，我们将最小平衡价格表征为微分方程的唯一$ C^2 $解，并使用汇合的超几何函数表达它。
This paper studies the equilibrium price of a continuous time asset traded in a market with heterogeneous investors. We consider a positive mean reverting asset and two groups of investors who have different beliefs on the speed of mean reversion and the mean level. We provide an equivalent condition for bubbles to exist and show that price bubbles may not form even though there are heterogeneous beliefs. This condition is directly related to the drift term of the asset. In addition, we characterize the minimal equilibrium price as a unique $C^2$ solution of a differential equation and express it using confluent hypergeometric functions.
