Financial Risk: Theory, Evidence and Implications: Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis - Hardcover

Hardcover

ISBN 10: 0898382432 ISBN 13: 9780898382433

Publisher: Springer, 1988

Synopsis

The Federal Reserve Bank held its Eleventh Annual Economic Policy Conference on November 14 and 15, 1986. The topic of the conference was Financial Risk: Theory, Evidence and Implications; this volume contains the papers and discussants' comments that were presented at this conference. As the reader will note, these papers cover the broad aspects of financial risk, from some key general concepts to specific domestic and international financial risk problems. And, of equal importance, they provide some interesting insights into reasons for the continuing turmoil in domestic and international financial markets that we have witnessed in recent years. ix I RISK: A GENERAL OVERVIEW 1 DIFFERENCES OF OPINION IN FINANCIAL MARKETS Hal R. Varian The standard models of financial markets such as the Sharpe-Lintner mean­ variance model or the Rubinstein-Breeden-Litzenberger contingent con­ sumption model both assume more-or-Iess homogenous probability beliefs.! There has been some work on extending the mean-variance model to allow for differences in beliefs across agents; see Jarrow (1980), Lintner (1969), Mayshar (1983), and Williams (1977). Differences in beliefs in contingent commodities models have received much less attention. The major references are Rubinstein (1975, 1976a), Breeden and Litzenberger (1978), Hakansson et al. (1982), and Milgrom and Stokey (1982).

Edition details

• Publisher: Springer
• Publication date: 1988
• Language: English
• ISBN 10: 0898382432
• ISBN 13: 9780898382433
• Binding: Hardcover
• Number of pages: 244
• Editor: Stone Courtenay C.