Financial market equilibria with heterogeneous agents: CAPM and market segmentation

DOI10.1007/S11579-013-0102-0zbMATH Open1273.91303OpenAlexW2056107367MaRDI QIDQ367369FDOQ367369

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

zbMATH Keywords

heterogeneous agentscumulative prospect theoryasset pricingcapital asset pricing model

Mathematics Subject Classification ID

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 (5)

• Myopic loss aversion, reference point, and money illusion
• Equilibrium asset pricing with Epstein-Zin and loss-averse investors
• Equilibria in the capital market with non-homogeneous investors
• Discrete-time behavioral portfolio selection under cumulative prospect theory
• Heterogeneity in Financial Market Participation: Appraising its Implications for the C-CAPM*

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