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Long-run heterogeneity in an exchange economy with fixed-mix traders

Bottazzi, Giulio; Dindo, Pietro; Giachini, Daniele - 2015

We consider an exchange economy with heterogeneous agents and multiple assets and investigate the coupled dynamics of assets' prices and agents' wealth. We assume that agents have heterogeneous beliefs and invest on each asset a fraction of wealth proportional to its expected dividends. Our main...

Persistent link: https://www.econbiz.de/10011386757

Essays on asset pricing, investor preferences, and derivative markets

Koëter, Joren - 2021

Persistent link: https://www.econbiz.de/10012627384

The contributions of Stephen A. Ross to financial economics

Brown, Stephen J.; Dybvig, Philip H.; Goetzmann, William N. - In: Annual review of financial economics 13 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012612519

Asset pricing with heterogeneous agents and non-normal return distributions

Beddock, Arthur - 2021

Persistent link: https://www.econbiz.de/10012617351

A machine learning based asset pricing factor model comparison on anomaly portfolios

Fang, Ming; Taylor, Stephen - In: Economics letters 204 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012607835

Asset pricing, asset allocation and risk-adjusted performance with multiple goals and agency : The Goals and Risk-Based Asset Pricing Model

Muralidhar, Arun S. - In: Journal of investment management : JOIM 19 (2021) 2, pp. 89-116

Persistent link: https://www.econbiz.de/10012815069

Asset pricing in a pure exchange economy with heterogeneous investors

Ruan, Xinfeng; Zhang, Jin E. - In: Mathematics and financial economics 14 (2020) 4, pp. 605-634

Persistent link: https://www.econbiz.de/10012321851

Macro-finance decoupling : robust evaluations of macro asset pricing Models

Cheng, Xu; Dou, Winston Wei; Liao, Zhipeng - 2020

Persistent link: https://www.econbiz.de/10012299129

Generalized asset pricing : Expected Downside Risk-based equilibrium modeling

Ormos, Mihály; Timotity, Dusán - In: Economic modelling 52 (2016), pp. 967-980

Persistent link: https://www.econbiz.de/10011643117

Investor sentiment : does it augment the performance of asset pricing models?

Bathia, Deven; Bredin, Donal - In: International review of financial analysis 59 (2018), pp. 290-303

Persistent link: https://www.econbiz.de/10012006993

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