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What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? · Study

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PreprintWhat Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Bernard Dumas2006

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Preprintgreen2006

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Bernard Dumas · Alexander Kurshev · Raman Uppal

20 citations·0/0 files stored·SSRN Electronic Journal

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

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1973Theory of Rational Option Pricing 1990Noise Trader Risk in Financial Markets 1971Optimum consumption and portfolio rules in a continuous-time model 1998Investor Psychology and Security Market Under‐ and Overreactions 1980On the Impossibility of Informationally Efficient Markets 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles

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Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations20

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.889562

openalex_workW3122018912

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