Mean-variance analysis and the modified market portfolio

DOI10.1016/J.JEDC.2019.103821OpenAlexW2995449720WikidataQ126567939 ScholiaQ126567939MaRDI QIDQ2291810

Jan Wenzelburger

Publication date: 31 January 2020

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103821

zbMATH Keywords

mean-variance analysisheterogeneous beliefsCAPMagent-based modelsmarket portfolio

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

A varying terminal time mean-variance model

Cites Work

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• The two-fund separation theorem revisited
• Learning to predict rationally when beliefs are heterogeneous
• Advances in prospect theory: cumulative representation of uncertainty
• Impossible Frontiers
• Prospect Theory: An Analysis of Decision under Risk
• An Intertemporal Capital Asset Pricing Model
• An intertemporal asset pricing model with stochastic consumption and investment opportunities

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