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The Heterogeneous Investment Horizon and the Capital Asset Pricing Model: Theory and Implications

Cheng F. Lee · Chunchi Wu · K.C. John Wei

43 citations0/0 files storedJournal of Financial and Quantitative Analysis

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stochastic processes and financial applications

Abstract

Cheng F. Lee, Chunchi Wu, K. C. John Wei, The Heterogeneous Investment Horizon and the Capital Asset Pricing Model: Theory and Implications, The Journal of Financial and Quantitative Analysis, Vol. 25, No. 3 (Sep., 1990), pp. 361-376

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References

1987A Simple Model of Capital Market Equilibrium with Incomplete Information 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1973Transcendental Logarithmic Production Frontiers 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1969Risk, The Pricing of Capital Assets, and The Evaluation of Investment Portfolios 2016Equilibrium in an Imperfect Market: A Constraint on the Number of Securities in the Portfolio 1959Criteria for Choice Among Risky Ventures

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