Learning to predict rationally when beliefs are heterogeneous

DOI10.1016/J.JEDC.2003.05.001zbMATH Open1201.91070OpenAlexW3125414420MaRDI QIDQ953703FDOQ953703

Jan Wenzelburger

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://pub.uni-bielefeld.de/record/2315241

zbMATH Keywords

heterogeneitylearningCAPMbounded rationalitysecurity market line

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Heterogeneous agent models (91B69)

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Cited In (12)

• A dynamical model for real economy and finance
• Evolutionary portfolio selection with liquidity shocks
• The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM
• On the dynamics of asset prices and portfolios in a multiperiod CAPM
• Mean-variance analysis and the modified market portfolio
• On the performance of efficient portfolios
• Learning in linear models with expectational leads
• An analysis of the effect of noise in a heterogeneous agent financial market model
• On non-ergodic asset prices
• Heterogeneous expectations and equilibria selection in an evolutionary overlapping generations model
• The two-fund separation theorem revisited
• Asset price-GDP cross feedback. The role of dividend policies in a dynamic setting

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