Ellis, Andrew; Piccione, Michele; Zhang, Shengxing - In: Theoretical economics : TE ; an open access journal in … 17 (2022) 1, pp. 121-152
We study the effects of diverse beliefs on equilibrium securitization under risk neutrality. We provide a simple …' diverse beliefs about asset returns. The issuer of securities tranches the asset pool, and traders sort among the tranches … according to their beliefs. We show how the traders' disagreement about the correlation of asset returns is a key factor in …