The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM

DOI10.1016/J.JMATECO.2005.12.005MaRDI QIDQ855321zbMATH OpenOpenAlexFDO

Authors Marten Hillebrand, Jan Wenzelburger

Publication date 7 December 2006

Published in Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL https://pub.uni-bielefeld.de/record/2315299

zbMATH Keywords

capmrational expectationsfinancial marketsmultiperiod portfolio decisions

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10) Economic growth models (91B62)

Recommendations

• On the dynamics of asset prices and portfolios in a multiperiod CAPM
• Financial markets equilibrium with heterogeneous agents
• Investment horizons and asset prices under asymmetric information
• Dynamic portfolio choice and asset pricing with differential information
• Asset Pricing with Heterogeneous Investment Horizons

Cites work

• scientific article; zbMATH DE number 4062374 (Why is no real title available?)
• scientific article; zbMATH DE number 3756646 (Why is no real title available?)
• A Multiperiod Equilibrium Asset Pricing Model
• Endogenous Random Asset Prices in Overlapping Generations Economies
• Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles
• Infinite horizon CAPM equilibrium
• Learning in economic systems with expectations feedback
• Learning to predict rationally when beliefs are heterogeneous
• MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES
• On the dynamics of asset prices and portfolios in a multiperiod CAPM
• On the performance of efficient portfolios
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
• Pension systems, demographic change, and the stock market
• Schur complements and statistics
• Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
• The multivariate normal distribution

Cited in

(6)

• On the dynamics of asset prices and portfolios in a multiperiod CAPM
• Learning in linear models with expectational leads
• On non-ergodic asset prices
• Investment horizons and asset prices under asymmetric information
• On the performance of efficient portfolios
• A Dynamic CAPM with Supply Effect: Theory and Empirical Results

This page was built for publication: The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q855321)