An evolutionary CAPM under heterogeneous beliefs
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Publication:470657
DOI10.1007/S10436-012-0215-0zbMATH Open1298.91132OpenAlexW3124693696MaRDI QIDQ470657FDOQ470657
Authors: Carl Chiarella, Roberto Dieci, Kai Li, Xue-Zhong He 
Publication date: 12 November 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://www.uts.edu.au/sites/default/files/qfr-archive-03/QFR-rp315.pdf
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- Herding, trend chasing and market volatility
- Contagion between asset markets: a two market heterogeneous agents model with destabilising spillover effects
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- Evolution of heterogeneous beliefs and asset overvaluation
- Agents' beliefs and economic regimes polarization in interacting markets
- Time-varying economic dominance in financial markets: A bistable dynamics approach
- On the dynamics of asset prices and portfolios in a multiperiod CAPM
- Speculative behavior and the dynamics of interacting stock markets
- Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints
- The evolution of portfolio rules and the capital asset pricing model
- Recent developments in asset pricing with heterogeneous beliefs and adaptive behaviour of financial markets
- Cognitive ability and earnings performance: evidence from double auction market experiments
- Interactions between stock, bond and housing markets
- The persistence of social strategies under increasing competitive pressure
- Nonlinear effect of sentiment on momentum
- An evolutionary game theory explanation of ARCH effects
- Research on price Stackelberg game model with probabilistic selling based on complex system theory
- Investor overconfidence and the security market line: new evidence from China
- On the inherent instability of international financial markets: natural nonlinear interactions between stock and foreign exchange markets
- A framework for CAPM with heterogeneous beliefs
- Cross-section instability in financial markets: impatience, extrapolation, and switching
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- Procedural rationality, asset heterogeneity and market selection
- Asset allocation with time series momentum and reversal
- Adaptive beliefs and the volatility of asset prices.
- Asynchronous Algorithms for Computing Equilibrium Prices in a Capital Asset Pricing Model
- Some reflections on past and future of nonlinear dynamics in economics and finance
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