Extending the CAPM model
Year of publication: |
2004-08-11
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Authors: | Adriaens, Hendri ; Donkers, Bas |
Institutions: | Society for Computational Economics - SCE |
Subject: | multiperiod CAPM | heterogeneous agents | price dependent preferences | microscopic simulations |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Computing in Economics and Finance 2004 Number 204 |
Classification: | C10 - Econometric and Statistical Methods: General. General ; G11 - Portfolio Choice ; G12 - Asset Pricing ; C68 - Computable General Equilibrium Models |
Source: |
-
Multi-period CAPM with Heterogeneous Agents
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Dubrana, Ludovic, (2011)
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Collateral requirements and asset prices
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Ambiguity, No Arbitrage, Coherence and Artificial Financial Markets
Adriaens, Hendri, (2006)
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Multi-period CAPM with Heterogeneous Agents
Adriaens, Hendri, (2005)
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The CAPM with Endogenous Beliefs
Adriaens, Hendri, (2008)
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