Chiarella, Carl; He, Xue-zhong; Zheng, Min - 2009
based on the framework of asset pricing
with switching fractions of heterogeneous agents developed by Brock and Hommes (1997 … the market. The portfolio managers are modelled
through the asset-market approach, which is widely used in asset pricing … recent literature (such as Chiarella, Dieci
and Gardini, 2002) on heterogeneous agent asset pricing models.
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model and the …