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Search: subject:"heterogeneous risk aversion"
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Risikoaversion
6
Risk aversion
6
heterogeneous risk aversion
6
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5
Theory
5
Aktienmarkt
3
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3
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Heterogeneous risk aversion
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Time-varying and heterogeneous risk aversion
2
asset pricing
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bounded rationality
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cyclical dynamics of stock price moments
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equity return correlations
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heterogeneous expectations
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heuristic switching
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Ehling, Paul
4
Heyerdahl-Larsen, Christian
4
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2
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2
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1
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1
Cochard, François
1
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ECONIS (ZBW)
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Diverse Risk Preferences and Heterogeneous Expectations in an Asset Pricing Model
Gomez, Thomas
;
Piccillo, Giulia
-
2019
We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion,...
Persistent link: https://www.econbiz.de/10012179802
Saved in:
2
Diverse risk preferences and heterogeneous expectations in an asset pricing model
Gomez, Thomas
;
Piccillo, Giulia
-
2019
We propose a heuristic switching model of an asset market where the agents' choice of heuristic is consistent with their individual risk aversion. They choose between a fundamentalist and a trend-following rule to form expectations about the price of a risky asset. Given their risk aversion,...
Persistent link: https://www.econbiz.de/10012157926
Saved in:
3
European equity markets : who is the truly representative investor?
Rojo Suárez, Javier
;
Alonso Conde, Ana Belén
;
Ferrero …
- In:
The quarterly review of economics and finance : journal …
75
(
2020
),
pp. 325-346
Persistent link: https://www.econbiz.de/10012416960
Saved in:
4
The effect of a right-of-first-refusal clause in a first-price auction with heterogeneous risk-averse bidders
Brisset, Karine
;
Cochard, François
;
Maréchal, François
- In:
Journal of institutional and theoretical economics : JITE
176
(
2020
)
3
,
pp. 526-548
Persistent link: https://www.econbiz.de/10012593899
Saved in:
5
Correlations
Ehling, Paul
;
Heyerdahl-Larsen, Christian
-
2014
. This paper studies stock market correlations in an equilibrium model with
heterogeneous
risk
aversion
. In the model …
Persistent link: https://www.econbiz.de/10012530372
Saved in:
6
Correlations
Ehling, Paul
;
Heyerdahl-Larsen, Christian
-
2014
Persistent link: https://www.econbiz.de/10011788857
Saved in:
7
Correlations
Ehling, Paul
;
Heyerdahl-Larsen, Christian
-
Banco de España
-
2014
. This paper studies stock market correlations in an equilibrium model with
heterogeneous
risk
aversion
. In the model …
Persistent link: https://www.econbiz.de/10010862257
Saved in:
8
Correlations
Ehling, Paul
;
Heyerdahl-Larsen, Christian
- In:
Management science : journal of the Institute for …
63
(
2017
)
6
,
pp. 1919-1937
Persistent link: https://www.econbiz.de/10011707351
Saved in:
9
Time-varying,
heterogeneous
risk
aversion
and dynamics of asset prices among boundedly rational agents
Park, Beum-jo
- In:
Journal of banking & finance
43
(
2014
),
pp. 150-159
Persistent link: https://www.econbiz.de/10010408997
Saved in:
10
Time-varying,
heterogeneous
risk
aversion
and dynamics of asset prices among boundedly rational agents
Park, Beum-Jo
- In:
Journal of Banking & Finance
43
(
2014
)
C
,
pp. 150-159
Besides the heterogeneity of agents’ beliefs, we perceive that, contrary to the constant short-term risk attitude of fundamentalists, the risk attitude for chartists varies over time due to psychological factors such as prospect theory’s reflection effect, which refers to the reversing of...
Persistent link: https://www.econbiz.de/10010777136
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