Chiarella, Carl; He, Xue-Zhong; Dieci, Roberto - Society for Computational Economics - SCE; University … - 2006
We reconsider the derivation of the traditional capital asset pricing model (CAPM) in the discrete time setting for a portfolio of one riskless asset and many risky assets. In contrast to the standard setting, it is assumed that agents are heterogeneous in their conditional means and covariances...