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On non-ergodic asset prices

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Author Info
Ulrich Horst ()
Jan Wenzelburger ()

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Abstract

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File URL: http://hdl.handle.net/10.1007/s00199-006-0175-6
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Publisher Info
Article provided by Springer in its journal Economic Theory.

Volume (Year): 34 (2008)
Issue (Month): 2 (February)
Pages: 207-234
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Handle: RePEc:spr:joecth:v:34:y:2008:i:2:p:207-234

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Related research
Keywords: CAPM; Financial markets; Social interaction; Random difference equations; C62; D85; G12;

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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.:
  1. 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. [Downloadable!] (restricted)
  2. Volker Bohm & Carl Chiarella, 2000. "Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices," Research Paper Series 46, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  3. 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. [Downloadable!] (restricted)
  4. J. Scheinkman & U. Horst, 2003. "Equilibria in Systems of Social Interactions," Princeton Economic Theory Working Papers d5a39039d26e0b08775b915bf, David K. Levine. [Downloadable!]
    Other versions:
  5. Blume Lawrence E., 1993. "The Statistical Mechanics of Strategic Interaction," Games and Economic Behavior, Elsevier, vol. 5(3), pages 387-424, July. [Downloadable!] (restricted)
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Cited by:
(explanations, 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.)

  1. Wenzelburger, Jan, 2008. "A Note on the Two-fund Separation Theorem," MPRA Paper 11014, University Library of Munich, Germany, revised 31 Sep 2008. [Downloadable!]
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