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Heterogeneous beliefs and adaptive behaviour in a continuous-time asset price model

He, Xue-zhong; Li, Kai - In: Journal of economic dynamics & control 36 (2012) 7, pp. 973-987

Persistent link: https://www.econbiz.de/10009573416

Bounded rationality as a source of loss aversion and optimism : a study of psychological adaption under incomplete information

Yao, Jing; Li, Duan - In: Journal of economic dynamics & control 37 (2013) 1, pp. 18-31

Persistent link: https://www.econbiz.de/10009703615

Explaining the facts with adaptive agents : the case of mutual fund flows

Lettau, Martin - In: Journal of economic dynamics & control 21 (1997) 7, pp. 1117-1147

Persistent link: https://www.econbiz.de/10001222311

Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders

Chauveau, Thierry; Subbotin, Alexander - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1040-1065

Persistent link: https://www.econbiz.de/10009738270

Asset home bias in debtor and creditor countries

Zhang, Ning - In: Journal of economic dynamics & control 157 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014495377

Investment Objectives of Sovereign Wealth Funds : A Shifting Paradigm

Petrova, Iva - 2011

While SWF investment objectives to some extent reflect inherent characteristics, notable differences in strategic asset allocation (SAA) exist even amongst SWFs of similar types. Even so, this paper shows that the global crisis may have changed SWF’s asset allocations in ways that may not be...

Persistent link: https://www.econbiz.de/10014403690

The New Economy and Global Stock Return

Catão, Luis - 2000

This paper revisits the relative importance of global versus country-specific factors underlying stock returns. It constructs a new firm level data set covering emerging and developed markets and estimates a simple factor model, which breaks down stock returns into a global business cycle...

Persistent link: https://www.econbiz.de/10014401448

Elasticity Optimism

International Monetary Fund - 2009

In most macroeconomic models, the substitutability between domestic and foreign goods is calibrated using aggregated data. This imposes homogeneous elasticities across goods, and the calibration is only valid under this assumption. If elasticities are heterogeneous, the aggregate...

Persistent link: https://www.econbiz.de/10014402215

Financial Globalization, Portfolio Diversification, and the Pattern of International Trade

Koren, Miklós - 2003

-form solutions for the volume and the structure of trade. Empirical results support the implications of the theory. Trade in …

Persistent link: https://www.econbiz.de/10014403975

International Currency Portfolios

Kumhof, Michael - 2009

This paper develops a theory of international currency portfolios that holds in general equilibrium, and that is … short (long) position in foreign currency. (4) A fiscal theory of exchange rate determination is compatible with general … equilibrium in a two-country world. (5) Equilibria are determinate when both fiscal and monetary policy are passive …

Persistent link: https://www.econbiz.de/10014403178

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