Financial market equilibria with heterogeneous agents: CAPM and market segmentation
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Publication:367369
DOI10.1007/S11579-013-0102-0zbMath1273.91303OpenAlexW2056107367MaRDI QIDQ367369
Publication date: 13 September 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: http://www.disei.unifi.it/upload/sub/pubblicazioni/repec/flo/workingpapers/storicodimad/2011/dimadwp2011-08.pdf
Special types of economic equilibria (91B52) Portfolio theory (91G10) Heterogeneous agent models (91B69)
Related Items (3)
Equilibrium asset pricing with Epstein-Zin and loss-averse investors ⋮ Discrete-time behavioral portfolio selection under cumulative prospect theory ⋮ Myopic loss aversion, reference point, and money illusion
Cites Work
- Financial market equilibria with cumulative prospect theory
- What is loss aversion?
- Advances in prospect theory: cumulative representation of uncertainty
- An index of loss aversion
- Static portfolio choice under cumulative prospect theory
- A note on the existence of CAPM equilibria with homogeneous cumulative prospect theory preferences
- Conditions for a CAPM equilibrium with positive prices
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- A Model of Reference-Dependent Preferences*
- Existence Theorems in the Capital Asset Pricing Model
- Prospect Theory: An Analysis of Decision under Risk
- The Dual Theory of Choice under Risk
- Loss Aversion with a State-Dependent Reference Point
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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