MEAN VARIANCE PREFERENCES, EXPECTATIONS FORMATION, AND THE DYNAMICS OF RANDOM ASSET PRICES

DOI10.1111/j.0960-1627.2005.00211.xzbMath1101.91029OpenAlexW2067451100MaRDI QIDQ5464336

Volker Böhm, Carl Chiarella

Publication date: 17 August 2005

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.0960-1627.2005.00211.x

Mathematics Subject Classification ID

Related Items (12)

Evolutionary portfolio selection with liquidity shocks ⋮ Evolution of heterogeneous beliefs and asset overvaluation ⋮ The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM ⋮ An analysis of the effect of investor sentiment in a heterogeneous switching transition model for G7 stock markets ⋮ Stochastic equilibria of an asset pricing model with heterogeneous beliefs and random dividends ⋮ An analysis of the effect of noise in a heterogeneous agent financial market model ⋮ Heterogeneity, convergence, and autocorrelations ⋮ The two-fund separation theorem revisited ⋮ On the dynamics of asset prices and portfolios in a multiperiod CAPM ⋮ On non-ergodic asset prices ⋮ A model of financial market dynamics with heterogeneous beliefs and state-dependent confidence ⋮ International asset market, nonconvergence, and endogenous fluctuations

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