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Prices and Portfolio Choices in Financial Markets: Theory and Experiment

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  • Peter Bossaerts
  • Charles Plott
  • William R. Zame

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File URL: http://www.econ.ucla.edu/zame/BPZ1.pdf
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Bibliographic Info

Paper provided by UCLA Department of Economics in its series Levine's Bibliography with number 122247000000001322.

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Date of creation: 20 Apr 2006
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Handle: RePEc:cla:levrem:122247000000001322

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  1. Bossaerts, Peter & Plott, Charles, 2002. "The CAPM in thin experimental financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 26(7-8), pages 1093-1112, July.
  2. Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, vol. 73(1), pages 245-257, March.
  3. McFadden, Daniel, 1989. "A Method of Simulated Moments for Estimation of Discrete Response Models without Numerical Integration," Econometrica, Econometric Society, vol. 57(5), pages 995-1026, September.
  4. John Geanakoplos & Martin Shubik, 1989. "The Capital Asset Pricing Model as a General Equilibrium with Incomplete Markets," Cowles Foundation Discussion Papers 913, Cowles Foundation for Research in Economics, Yale University.
  5. Connor, Gregory, 1984. "A unified beta pricing theory," Journal of Economic Theory, Elsevier, vol. 34(1), pages 13-31, October.
  6. Peter Bossaerts & Charles Plott, 2004. "Basic Principles of Asset Pricing Theory: Evidence from Large-Scale Experimental Financial Markets," Review of Finance, Springer, vol. 8(2), pages 135-169.
  7. Radner, Roy, 1972. "Existence of Equilibrium of Plans, Prices, and Price Expectations in a Sequence of Markets," Econometrica, Econometric Society, vol. 40(2), pages 289-303, March.
  8. Charles A. Holt & Susan K. Laury, 2002. "Risk Aversion and Incentive Effects," American Economic Review, American Economic Association, vol. 92(5), pages 1644-1655, December.
  9. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
  10. Asparouhova, Elena & Bossaerts, Peter & Plott, Charles, 2003. "Excess demand and equilibration in multi-security financial markets: the empirical evidence," Journal of Financial Markets, Elsevier, vol. 6(1), pages 1-21, January.
  11. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
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Cited by:
  1. Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame, 2010. "Ambiguity in Asset Markets: Theory and Experiment," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1325-1359, April.
  2. Terje Lensberg & Klaus Reiner Schenk-Hoppe, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Swiss Finance Institute Research Paper Series 06-38, Swiss Finance Institute.
  3. Jack Ochs & Li Qi, 2006. "Information Use and Transference," Working Papers 236, University of Pittsburgh, Department of Economics, revised Jan 2006.
  4. Ernst Fehr & Jean-Robert Tyran, 2005. "Individual Irrationality and Aggregate Outcomes," Journal of Economic Perspectives, American Economic Association, vol. 19(4), pages 43-66, Fall.
  5. Karl Schmedders, 2005. "Two-Fund Separation in Dynamic General Equilibrium," Discussion Papers 1398, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  6. Peter Bossaerts & William R. Zame, 2006. "Risk Aversion in Laboratory Asset Markets," Levine's Bibliography 122247000000001317, UCLA Department of Economics.
  7. Catherine Eckel & Rick Wilson, 2006. "Internet cautions: Experimental games with internet partners," Experimental Economics, Springer, vol. 9(1), pages 53-66, April.

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