A Stylized Model for Long-Run Index Return Dynamics

DOI10.1007/978-981-10-1521-2_7zbMath1417.91435OpenAlexW2523703720MaRDI QIDQ4555250

Stefano Marmi, Natascia Angelini, Giacomo Bormetti, Franco Maria Nardini

Publication date: 19 November 2018

Published in: Essays in Economic Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-10-1521-2_7

zbMATH Keywords

fundamental valueShiller's cape

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Animal spirits in the foreign exchange market
• Behavioral heterogeneity in stock prices
• Momentum and Mean Reversion in Strategic Asset Allocation
• MULTIASSET MARKET DYNAMICS
• Financial Modelling with Jump Processes

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