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Perfect forecasting, behavioral heterogeneities, and asset prices

Wenzelburger, Jan - In: Handbook of financial markets : dynamics and evolution, (pp. 345-401). 2009

Persistent link: https://www.econbiz.de/10003820638

Risk sharing in a financial market with endogenous option prices

Wenzelburger, Jan - In: The European journal of finance 19 (2013) 5/6, pp. 491-517

Persistent link: https://www.econbiz.de/10010243599

Mean-variance analysis and the Modified Market Portfolio

Wenzelburger, Jan - In: Journal of economic dynamics & control 111 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012501447

The impact of multiperiod planning horizons on portfolios and asset in a dynamic CAPM

Hillebrand, Marten; Wenzelburger, Jan - In: Journal of mathematical economics 42 (2006) 4/5, pp. 565-593

Persistent link: https://www.econbiz.de/10003376542

On the dynamics of asset prices and portfolios in a multiperiod CAPM

Hillebrand, Marten; Wenzelburger, Jan - 2005

Persistent link: https://www.econbiz.de/10003086353

On the performance of efficient portfolios

Böhm, Volker; Wenzelburger, Jan - In: Journal of economic dynamics & control 29 (2005) 4, pp. 721-740

Persistent link: https://www.econbiz.de/10002702747

On the performance of efficient portfolios

Böhm, Volker; Wenzelburger, Jan - 2005

Persistent link: https://www.econbiz.de/10002714742

Equilibria in the CAPM with non-tradeable endowments

Koch Medina, Pablo; Wenzelburger, Jan - In: Journal of mathematical economics 75 (2018), pp. 93-107

Persistent link: https://www.econbiz.de/10012104032

Continuous equilibrium under base preferences and attainable initial endowments

Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - 2011

We consider a full equilibrium model in continuous time comprising a finite number of agents and tradable securities.We show that, if the agents' endowments are spanned by the securities and if the agents have entropic utilities, an equilibrium exists and the agents' optimal trading strategies...

Persistent link: https://www.econbiz.de/10009379446

Continuous equilibrium in affine and information-based capital asset pricing models

Horst, Ulrich; Kupper, Michael; Macrina, Andrea; … - In: Annals of finance 9 (2013) 4, pp. 725-755

Persistent link: https://www.econbiz.de/10010196576