A framework for CAPM with heterogeneous beliefs

DOI10.1007/978-3-642-04023-8_19MaRDI QIDQ3569490zbMATH OpenOpenAlexFDO

Authors Carl Chiarella, Roberto Dieci, Xue-Zhong He

Publication date 21 June 2010

Published in Nonlinear Dynamics in Economics, Finance and Social Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04023-8_19

Mathematics Subject Classification ID

Portfolio theory (91G10) Dynamical systems in optimization and economics (37N40)

Recommendations

• Capital market equilibrium without riskless assets: heterogeneous expectations
• Financial markets equilibrium with heterogeneous agents
• Financial market equilibria with heterogeneous agents: CAPM and market segmentation
• Capital market equilibrium with heterogeneous investors
• An evolutionary CAPM under heterogeneous beliefs

Cited in

(11)

• Coupled projects, core imputations, and the CAPM
• AN ANALYTICAL FRAMEWORK FOR EXPLAINING RELATIVE PERFORMANCE OF CAPM BETA AND DOWNSIDE BETA
• A note on a mean-lower partial moment CAPM without risk-free asset
• Empirical properties of a heterogeneous agent model in large dimensions
• Heterogeneity in Financial Market Participation: Appraising its Implications for the C-CAPM*
• An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets
• An evolutionary CAPM under heterogeneous beliefs
• TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES
• Beyond CAPM: estimating the cost of equity considering idiosyncratic risks
• Procedural rationality, asset heterogeneity and market selection
• Capital Structure under Heterogeneous Beliefs*

This page was built for publication: A framework for CAPM with heterogeneous beliefs

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3569490)