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The Identification of Beliefs From Asset Demand

Author

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  • Felix Kübler
  • Herakles Polemarchakis

Abstract

The demand for assets as prices and initial wealth vary identifies beliefs and attitudes towards risk. We derive conditions that guarantee identification with no knowledge either of the cardinal utility index (attitudes towards risk) or of the distribution of future endowments or payoffs of assets; the argument applies even if the asset market is incomplete and demand is observed only locally.

Suggested Citation

  • Felix Kübler & Herakles Polemarchakis, 2017. "The Identification of Beliefs From Asset Demand," Econometrica, Econometric Society, vol. 85, pages 1219-1238, July.
    • Handle: RePEc:wly:emetrp:v:85:y:2017:i::p:1219-1238
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    Cited by:

    1. Gorno, Leandro, 2019. "Revealed preference and identification," Journal of Economic Theory, Elsevier, vol. 183(C), pages 698-739.
    2. Anastasia Burkovskaya, 2022. "A model of state aggregation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(1), pages 121-149, February.
    3. Thomas W. L. Norman, 2026. "Ambiguity-Averse Aggregation under Heterogeneous Beliefs," Economic Theory Bulletin, Springer;Society for the Advancement of Economic Theory (SAET), vol. 14(1), pages 1-20, June.
    4. Kubler, Felix & Selden, Larry & Wei, Xiao, 2020. "Incomplete market demand tests for Kreps-Porteus-Selden preferences," Journal of Economic Theory, Elsevier, vol. 185(C).

    More about this item

    JEL classification:

    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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