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A Framework for CAPM with Heterogeneous Beliefs · Study

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ChapterA Framework for CAPM with Heterogeneous Beliefs

Carl Chiarella2009

Chapter2009

A Framework for CAPM with Heterogeneous Beliefs

Carl Chiarella · Roberto Dieci · Xue-Zhong 'Tony' He

26 citations·0/0 files stored·Springer eBooks

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Financial Markets and Investment Strategies Stochastic processes and financial applications Economic theories and models

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1966Equilibrium in a Capital Asset Market 1977RISK, UNCERTAINTY, AND DIVERGENCE OF OPINION 1997A Rational Route to Randomness 1998Heterogeneous beliefs and routes to chaos in a simple asset pricing model 1989Foundations for Financial Economics.

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2009Heterogeneous speculators, endogenous fluctuations and interacting markets: A model of stock prices and exchange ratesarticle · 13 shared references 2018Heterogeneous Agent Models in Finance ✶ ✶Acknowledgments: We are grateful to the editors, Cars Hommes and Blake LeBaron, and three reviewers for their very helpful comments. We also thank the participants to the Workshop “Handbook of Computational Economics, Volume 4, Heterogeneous Agent Models”, hosted by the Amsterdam School of Economics, University of Amsterdam, for insightful discussions and suggestions. We would like to dedicate this survey to the memory of Carl Chiarella who inspired and collaborated with us on a large body of research covered partially in this chapter. Financial support from the Australian Research Council (ARC) under Discovery Grant (DP130103210) is gratefully acknowledged.other · 13 shared references 2009Heterogeneity, Market Mechanisms, and Asset Price Dynamicschapter · 12 shared references 2007Consensus Consumer and Intertemporal Asset Pricing with Heterogeneous Beliefsarticle · 11 shared references 2007Power-law behaviour, heterogeneity, and trend chasingarticle · 11 shared references 2014Heterogeneous expectations in asset pricing: Empirical evidence from the S&P500article · 11 shared references

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Year2009

Typechapter

Published2009-10-24

VenueSpringer eBooks

Languageen

Citations26

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1007/978-3-642-04023-8_19

openalex_workW1903512867

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