Journal Of The Econometric Society

An International Society for the Advancement of Economic
Theory in its Relation to Statistics and Mathematics

Edited by: Guido W. Imbens • Print ISSN: 0012-9682 • Online ISSN: 1468-0262

Econometrica: Jul, 2017, Volume 85, Issue 4

The Identification of Beliefs from Asset Demand
p. 1219-1238

Felix Kübler, Herakles Polemarchakis

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.

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Supplemental Material

Supplement to "The Identification of Beliefs from Asset Demand"

This supplement contains Appendices A and B for the manuscript.