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Financial Risk: Theory, Evidence and Implications - Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis (Hardcover, 1989 ed.)
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Financial Risk: Theory, Evidence and Implications - Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis (Hardcover, 1989 ed.)
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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).
General
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