异质信念下泡沫产生的条件
Conditions for bubbles to arise under heterogeneous beliefs
摘要：
本文研究了具有异质投资者的市场中连续时间资产的均衡价格。我们考虑一个正的均值回复资产和两组对均值回归速度和均值水平有不同信念的投资者。我们提供了一个等价的泡沫存在的条件，并表明，价格泡沫可能不会形成，即使有异质的信念。这个条件与资产的漂移项直接相关。此外，我们将最小均衡价格刻画为一个微分方程的唯一$C^2$解，并用合流超几何函数表示。
英文摘要：
This paper studies the equilibrium price of a continuous time asset traded in a market with heterogeneous investors. We consider a positive mean reverting asset and two groups of investors who have different beliefs on the speed of mean reversion and the mean level. We provide an equivalent condition for bubbles to exist and show that price bubbles may not form even though there are heterogeneous beliefs. This condition is directly related to the drift term of the asset. In addition, we characterize the minimal equilibrium price as a unique $C^2$ solution of a differential equation and express it using confluent hypergeometric functions.
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