Financial market equilibria with heterogeneous agents: CAPM and market segmentation

DOI10.1007/S11579-013-0102-0zbMath1273.91303OpenAlexW2056107367MaRDI QIDQ367369

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

asset pricingheterogeneous agentscapital asset pricing modelcumulative prospect theory

Mathematics Subject Classification ID

Special types of economic equilibria (91B52) Portfolio theory (91G10) Heterogeneous agent models (91B69)

Related Items (3)

Equilibrium asset pricing with Epstein-Zin and loss-averse investors ⋮ Discrete-time behavioral portfolio selection under cumulative prospect theory ⋮ Myopic loss aversion, reference point, and money illusion

Cites Work

• Financial market equilibria with cumulative prospect theory
• What is loss aversion?
• Advances in prospect theory: cumulative representation of uncertainty
• An index of loss aversion
• 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
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• A Model of Reference-Dependent Preferences*
• Existence Theorems in the Capital Asset Pricing Model
• Prospect Theory: An Analysis of Decision under Risk
• The Dual Theory of Choice under Risk
• Loss Aversion with a State-Dependent Reference Point
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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