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The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM

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  • Hillebrand, Marten
  • Wenzelburger, Jan

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Mathematical Economics.

Volume (Year): 42 (2006)
Issue (Month): 4-5 (August)
Pages: 565-593

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Handle: RePEc:eee:mateco:v:42:y:2006:i:4-5:p:565-593

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Web page: http://www.elsevier.com/locate/jmateco

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References

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  1. Felix Kubler & Karl Schmedders, 2001. "Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1319, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Jan Wenzelburger & Volker Boehm, 2004. "On the performance of efficient portfolios," Computing in Economics and Finance 2004, Society for Computational Economics 197, Society for Computational Economics.
  3. Hakansson, Nils H, 1970. "Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions," Econometrica, Econometric Society, Econometric Society, vol. 38(5), pages 587-607, September.
  4. Magill, M. & Quinzii, M., 1993. "Icomplete Markets Over an Infinite Horizon: Long-Lived Securities and Speculative Bubbles," Papers, Southern California - Department of Economics 9321, Southern California - Department of Economics.
  5. Volker Böhm & Carl Chiarella, 2005. "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 15(1), pages 61-97.
  6. Stapleton, R C & Subrahmanyam, Marti G, 1978. "A Multiperiod Equilibrium Asset Pricing Model," Econometrica, Econometric Society, Econometric Society, vol. 46(5), pages 1077-96, September.
  7. Volker Böhm & Nicole Deutscher & Jan Wenzelburger, 2000. "Endogenous Random Asset Prices in Overlapping Generations Economies," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 10(1), pages 23-38.
  8. Wenzelburger, Jan, 2004. "Learning to predict rationally when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(10), pages 2075-2104, September.
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Cited by:
  1. Ulrich Horst & Jan Wenzelburger, 2008. "On non-ergodic asset prices," Economic Theory, Springer, Springer, vol. 34(2), pages 207-234, February.
  2. Wenzelburger, Jan, 2006. "Learning in linear models with expectational leads," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 42(7-8), pages 854-884, November.
  3. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2011. "The dynamic behaviour of asset prices in disequilibrium: a survey," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, Inderscience Enterprises Ltd, vol. 2(2), pages 101-139.
  4. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 231, Quantitative Finance Research Centre, University of Technology, Sydney.
  5. Anufriev Mikhail & Bottazzi Giulio, 2012. "Asset Pricing with Heterogeneous Investment Horizons," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, De Gruyter, vol. 16(4), pages 1-38, October.

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