The aim of this paper is to show, within the mean-variance framework, how the market belief can be constructed as the result of the aggregation of heterogeneous beliefs and how the market equilibrium prices of risky assets can thus be determined. The heterogeneous beliefs are defined in terms of...

This paper introduces a simulation model extending the well known Capital Asset Pricing Model by Sharpe and Lintner. Investors are modeled as multi-period forward looking portfolio optimizers. However, the future is not known \emph{a priori}, but has to be modeled and estimated. We allow agents...

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Ways of finding a maximum skewness portfolio, with given return, variance and kurtosis, are presented. The methods take advantage of the special shape of the efficient portfolios manifold. Simpler solutions are obtained if the higher moments tensor has some particular structures. The problem of...

Understanding the value a customer has to a business is a fundamental problem. Accurate valuations are critical for setting appropriate levels of investment for targeted marketing and for the setting of individual customer service levels. Traditionally semi-qualitative methods using results from...

This paper extends the well known Capital Asset Pricing Model by Sharpe and Lintner to a multi-period context with possibly price dependent preferences. The model is built from individual forward looking agents adopting a portfolio selection scheme similar to the portfolio selection theory...