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 characterization of the optimal securities. Pooling and tranching of assets emerges in equilibrium as a consequence of the traders' diverse beliefs about asset returns. The issuer of...
