We consider a simple CAPM with heterogenous expectations on assets mean returns while keeping the assumption of homogenous expectations on the covariance of returns. Our first result derives the security market line as an aggregation result without using the two-fund-separation property. In...

We consider a dynamic general equilibrium model with incomplete markets in which we derive conditions for separating the savings decision from the asset allocation decision. It is shown that with logarithmic utility functions this separation holds for any heterogeneity of discount factors while...

We explain excess volatility, short-term momentum and long-term reversal of asset prices by a repeated game version of Keynes beauty contest. In every period the players can either place a buy or sell order on the asset market. The actual price movement is determined by average market orders and...

We consider a repeated stochastic coordination game with imperfect publicmonitoring. In the game any pattern of coordinated play is a perfectBayesian Nash equilibrium ...

We consider a simple CAPM with heterogenous expectations on assets' mean returns and homogenous expectations on the covariance of returns. In this model alpha-opportunities naturally arise in a financial market equilibrium. We show that that the hunt for alpha-opportunities is a zero-sum game...