Advanced Search
MyIDEAS: Login to save this article or follow this journal

Learning to predict rationally when beliefs are heterogeneous

Contents:

Author Info

  • Wenzelburger, Jan

Abstract

No abstract is available for this item.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.sciencedirect.com/science/article/B6V85-4B6CRB5-1/2/503ee7d5b0afd14c13616d5bdc862a77
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 28 (2004)
Issue (Month): 10 (September)
Pages: 2075-2104

as in new window
Handle: RePEc:eee:dyncon:v:28:y:2004:i:10:p:2075-2104

Contact details of provider:
Web page: http://www.elsevier.com/locate/jedc

Related research

Keywords:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Chiarella, Carl & He, Xue-Zhong, 2002. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model," Computational Economics, Society for Computational Economics, vol. 19(1), pages 95-132, February.
  2. B hm, Volker & Wenzelburger, Jan, 2002. "Perfect Predictions In Economic Dynamical Systems With Random Perturbations," Macroeconomic Dynamics, Cambridge University Press, vol. 6(05), pages 687-712, November.
  3. Chen, Xiaohong & White, Halbert, 1998. "Nonparametric Adaptive Learning with Feedback," Journal of Economic Theory, Elsevier, vol. 82(1), pages 190-222, September.
  4. Volker Böhm & Carl Chiarella, 2005. "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Wiley Blackwell, vol. 15(1), pages 61-97.
  5. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
  6. repec:att:wimass:9530 is not listed on IDEAS
  7. Brock, W.A. & Hommes, C.H., 1996. "A Rational Route to Randomness," Working papers 9530r, Wisconsin Madison - Social Systems.
  8. Volker Böhm & Nicole Deutscher & Jan Wenzelburger, 2000. "Endogenous Random Asset Prices in Overlapping Generations Economies," Mathematical Finance, Wiley Blackwell, vol. 10(1), pages 23-38.
  9. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  10. repec:att:wimass:9621 is not listed on IDEAS
  11. Brock, William A. & Hommes, Cars H., 1998. "Heterogeneous beliefs and routes to chaos in a simple asset pricing model," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1235-1274, August.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Enrico De Giorgi, 2005. "Evolutionary Portfolio Selection with Liquidity Shocks," Computing in Economics and Finance 2005 15, Society for Computational Economics.
  2. Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007. "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 408-427, March.
  3. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. Wenzelburger, Jan, 2006. "Learning in linear models with expectational leads," Journal of Mathematical Economics, Elsevier, vol. 42(7-8), pages 854-884, November.
  5. Erhan Bayraktar & Ulrich Horst & Ronnie Sircar, 2007. "Queueing Theoretic Approaches to Financial Price Fluctuations," Papers math/0703832, arXiv.org.
  6. Hillebrand, Marten & Wenzelburger, Jan, 2006. "The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM," Journal of Mathematical Economics, Elsevier, vol. 42(4-5), pages 565-593, August.
  7. Chiarella, Carl & He, Xue-Zhong & Zheng, Min, 2011. "An analysis of the effect of noise in a heterogeneous agent financial market model," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 148-162, January.
  8. Jan Wenzelburger, 2013. "Risk sharing in a financial market with endogenous option prices," The European Journal of Finance, Taylor & Francis Journals, vol. 19(6), pages 491-517, July.
  9. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2010. "Time-Varying Beta: A Boundedly Rational Equilibrium Approach," Research Paper Series 275, Quantitative Finance Research Centre, University of Technology, Sydney.
  10. Xue‐Zhong He & Lei Shi, 2012. "Boundedly rational equilibrium and risk premium," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 52(1), pages 71-93, 03.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eee:dyncon:v:28:y:2004:i:10:p:2075-2104. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.