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Bubbling and crashing exchange rates
Blix Grimaldi, Marianna; De Grauwe, Paul - 2003
We develop a simple model of the foreign exchange market in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one.This model produces two kinds of equilibria, a fundamental and a bubble...
Persistent link: https://www.econbiz.de/10011509496
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Asset price dynamcis and diversification with heterogeneous agents
Chiarella, Carl; Dieci, Roberto; Gardini, Laura - In: Nonlinear dynamics and heterogeneous interacting agents …, (pp. 251-267). 2005
Persistent link: https://www.econbiz.de/10002775676
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Asset price dynamics with time-varying second moment
Chiarella, Carl; He, Xue-zhong; Wang, Duo - 2004
Persistent link: https://www.econbiz.de/10002554388
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Essays on financial models
Amilon, Henrik - 2000
Persistent link: https://www.econbiz.de/10001534304
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Explicit representation of the minimal variance portfolio in markets driven by Lévy processes
Benth, Fred Espen; Di Nunno, Giulia; Løkka, Arne; … - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 55-72
Persistent link: https://www.econbiz.de/10001765640
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Keynes-Metzler-Goodwin model building : the closed economy
Asada, Tōichirō; Chiarella, Carl; Flaschel, Peter - 2003
Persistent link: https://www.econbiz.de/10001739231
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Bubbling and crashing exchange rates
Grimaldi, Marianna; De Grauwe, Paul - 2003
We develop a simple model of the foreign exchange market in which agents optimize their portfolio and use different forecasting rules. They check the profitability of these rules ex post and select the more profitable one. This model produces two kinds of equilibria, a fundamental and a bubble...
Persistent link: https://www.econbiz.de/10001807239
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Real-financial interaction : a Keynes-Metzler-Goodwin portfolio approach
Köper, Carsten; Flaschel, Peter - 2000
Persistent link: https://www.econbiz.de/10001497045
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Kapitalmarktmodelle : lineare und nichtlineare Modellkonzepte und Methoden in der Kapitalmarkttheorie
Wilhelm, Stefan - 2001
Persistent link: https://www.econbiz.de/10001538949
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Der Einsatz der Coherent Market Hypothesis zur Portfoliooptimierung
Steiner, Manfred; Wittkemper, Hans-Georg; Wolf, J. Benedict - In: Finanzmarkt und Portfolio-Management 12 (1998) 1, pp. 74-94
Persistent link: https://www.econbiz.de/10001407711