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

DOI10.1016/J.JMATECO.2005.12.005zbMATH Open1141.91447OpenAlexW1988116701MaRDI QIDQ855321FDOQ855321

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)

Cites Work

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• On the dynamics of asset prices and portfolios in a multiperiod CAPM

Cited In (5)

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

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