Financial market equilibria with heterogeneous agents: CAPM and market segmentation
DOI10.1007/S11579-013-0102-0zbMATH Open1273.91303OpenAlexW2056107367MaRDI QIDQ367369FDOQ367369
Authors: Matteo Del Vigna 
Publication date: 13 September 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: http://www.disei.unifi.it/upload/sub/pubblicazioni/repec/flo/workingpapers/storicodimad/2011/dimadwp2011-08.pdf
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Portfolio theory (91G10) Special types of economic equilibria (91B52) Heterogeneous agent models (91B69)
Cites Work
- The Dual Theory of Choice under Risk
- Advances in prospect theory: cumulative representation of uncertainty
- Prospect Theory: An Analysis of Decision under Risk
- An index of loss aversion
- A model of reference-dependent preferences
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Static portfolio choice under cumulative prospect theory
- A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences
- Conditions for a CAPM equilibrium with positive prices
- Existence Theorems in the Capital Asset Pricing Model
- Loss Aversion with a State-Dependent Reference Point
- Financial market equilibria with cumulative prospect theory
- What is loss aversion?
Cited In (11)
- Myopic loss aversion, reference point, and money illusion
- Equilibrium asset pricing with Epstein-Zin and loss-averse investors
- Capital market equilibrium without riskless assets: heterogeneous expectations
- Equilibria in the capital market with non-homogeneous investors
- A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences
- Discrete-time behavioral portfolio selection under cumulative prospect theory
- Heterogeneity in Financial Market Participation: Appraising its Implications for the C-CAPM*
- Walrasian foundations for equilibria in segmented markets
- A framework for CAPM with heterogeneous beliefs
- Capital market equilibrium with heterogeneous investors
- Financial market equilibria with cumulative prospect theory
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