Investor heterogeneity, asset pricing and volatility dynamics

DOI10.1016/j.jedc.2008.12.002zbMath1176.91051MaRDI QIDQ1042361

David Weinbaum

Publication date: 7 December 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2008.12.002

zbMATH Keywords

asset pricing; volatility; preference heterogeneity

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

Related Items

HETEROGENEITY IN RISK PREFERENCES LEADS TO STOCHASTIC VOLATILITY, Actuarial fairness and social welfare in mixed-cohort tontines, How suboptimal are linear sharing rules?, Incomplete markets and derivative assets, Equilibrium open interest, Empirical properties of a heterogeneous agent model in large dimensions, Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders, A collective investment problem in a stochastic volatility environment: the impact of sharing rules

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