Christian Heyerdahl-Larsen

Social Choice and Welfare 61 p. 763-763 Doi: https://doi.org/10.1007/s00355-023-01467-1

We analyze multiple-beliefs based efficiency measures in economies with risk and disagreement, including belief neutral efficiency and inefficiency, incomplete knowledge efficiency, efficiency based on unanimity, and utility aggregators that minimize Bergson welfare functions over multiple beliefs. We provide equivalence results under technical conditions that are satisfied in several work-horse economies, including the exchange economy and a standard economy with a linear production technology. We also provide several examples for which these measures differ. Our results show that the further away one gets from the standard exchange economy, the more the different multiple-beliefs based measures differ in the allocations they identify as efficient, in general. Consequently, the more important the choice of efficiency measures becomes.

Journal of Financial Economics 127(3) p. 459-484 Doi: https://doi.org/10.1016/j.jfineco.2018.01.001

Review of Economic Studies 85(3) p. 1752-1780 Doi: https://doi.org/10.1093/restud/rdx077

We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after positive returns, that is, they act as trend chasers. In equilibrium, the risk premium decreases after a positive shock and, therefore, trend chasing young agents lose wealth relative to old agents who behave as contrarians. Consistent with findings from survey data, the average belief about the risk premium in the economy relates negatively to future excess returns and is smoother than the true risk premium.

Management science 63(6) p. 1919-1937 Doi: https://doi.org/10.1287/mnsc.2015.2413

Journal of Economic Theory 160 p. 438-462 Doi: https://doi.org/10.1016/j.jet.2015.10.006