Risk Aversion, Beliefs, and Prediction Market Equilibrium

By Steven Gjerstad. 2004

115 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/0336487176e25f6d879eb7649c1ce4a5ab55650b

Citations in the corpus

• Interpreting the Predictions of Prediction Markets (2006, background): “Working independently of one another, Gjerstad (2005) and Wolfers and Zitzewitz (2005) show that equilibrium price is the mean belief E(qm) if all traders maximize the subjective expected value of the logarithm of their contracts.”
• Survey Measurement of Probabilistic Macroeconomic Expectations: Progress and Promise (2017, unknown): “It was subsequently found by Gjerstad (2005) and Wolfers and Zitzewitz (2006) that price equals the mean subjective probability only if investors are risk-averse with utility equal to log(income).”