Risk-neutral investors do not acquire information

被引：1
|
作者：
Muendler, Marc-Andreas [1 ]
机构：
[1] Univ Calif San Diego, Dept Econ, La Jolla, CA 92093 USA
来源：
FINANCE RESEARCH LETTERS | 2008年 / 5卷 / 03期
关键词：
Information acquisition; Risk neutrality; Portfolio choice;
D O I：
10.1016/j.frl.2008.04.001
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Give a risk-neutral investor the choice to acquire a costly signal prior to asset market equilibrium. She refuses to pay for the signal under general conditions. The reason is that a risk-neutral investor is indifferent between a risky asset or a safe bond in optimum and expects the same return to her portfolio ex ante, whether or not she acquires information. Risk neutrality thus implies the absence of costly information from asset price in competitive asset markets. (c) 2008 Elsevier Inc. All rights reserved.
引用
收藏
页码：156 / 161
页数：6
相关论文
共 50 条
  • [41] Risk-neutral skewness and commodity futures pricing
    Fuertes, Ana-Maria
    Liu, Zhenya
    Tang, Weiqing
    JOURNAL OF FUTURES MARKETS, 2022, 42 (04) : 751 - 785
  • [42] A STRUCTURAL RISK-NEUTRAL MODEL OF ELECTRICITY PRICES
    Aid, Rene
    Campi, Luciano
    Huu, Adrien Nguyen
    Touzi, Nizar
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2009, 12 (07) : 925 - 947
  • [43] Risk-neutral Modeling with Affine and Nonaffine Models
    Durham, Garland B.
    JOURNAL OF FINANCIAL ECONOMETRICS, 2013, 11 (04) : 650 - 681
  • [44] Risk-Neutral Density Estimation: Looking at the Tails
    Reinke, Martin
    JOURNAL OF DERIVATIVES, 2020, 27 (03): : 99 - 125
  • [45] Risk-Neutral Pricing for Arbitrage Pricing Theory
    Laurence Carassus
    Miklós Rásonyi
    Journal of Optimization Theory and Applications, 2020, 186 : 248 - 263
  • [46] Risk-Neutral Valuation of Real Estate Derivatives
    Van Bragt, David
    Francke, Marc K.
    Singor, Stefan N.
    Pelsser, Antoon
    JOURNAL OF DERIVATIVES, 2015, 23 (01): : 89 - 110
  • [47] The Relation between Physical and Risk-neutral Cumulants
    Zhao, Huimin
    Zhang, Jin E.
    Chang, Eric C.
    INTERNATIONAL REVIEW OF FINANCE, 2013, 13 (03) : 345 - 381
  • [48] Convex optimization over risk-neutral probabilities
    Barratt, Shane
    Tuck, Jonathan
    Boyd, Stephen
    OPTIMIZATION AND ENGINEERING, 2024, 25 (01) : 283 - 299
  • [49] Risk-neutral moments in the crude oil market
    Ruan, Xinfeng
    Zhang, Jin E.
    ENERGY ECONOMICS, 2018, 72 : 583 - 600
  • [50] On quadratic models of yield in risk-neutral world
    Medvedev, Gennady A.
    Pavliv, Dmitriy A.
    VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE, 2016, 37 (04): : 44 - 56
12345