The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM

DOI10.1016/J.JMATECO.2005.12.005zbMath1141.91447OpenAlexW1988116701MaRDI QIDQ855321

Marten Hillebrand, Jan Wenzelburger

Publication date: 7 December 2006

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://pub.uni-bielefeld.de/record/2315299

zbMATH Keywords

capmrational expectationsfinancial marketsmultiperiod portfolio decisions

Mathematics Subject Classification ID

Economic growth models (91B62) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

Related Items (4)

Learning in linear models with expectational leads ⋮ On the dynamics of asset prices and portfolios in a multiperiod CAPM ⋮ On non-ergodic asset prices ⋮ On the performance of efficient portfolios

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