He, Xue-zhong; Shi, Lei - 2008
Words: Heterogeneity, bounded rationality, heterogeneous CAPM, mean-variance
efficiency, Sharpe and Treynor ratios.
JEL …. INTRODUCTION
The Capital Asset Pricing Model (CAPM) developed simultaneously and indepen-
dently by Sharpe (1964), Lintner (1965 … payoff/returns, leading to a CAPM-like relation under heterogeneous beliefs.
As a special case, their result provides a …