Equilibrium securitization with diverse beliefs
在风险中性假设下，研究了交易者异质信念对均衡证券化的影响，发现资产池化和分层是交易者信念差异的均衡结果，且对资产收益相关性的分歧决定了哪些资产被纳入池中。
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 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 determining which assets are pooled.