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Prices and Portfolio Choices in Financial Markets: Theory and Experiments

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  • Peter Bossaerts

    (California Institution of Technology)

  • Charles Plott

    (California Institution of Technology)

  • William R. Zame

    (California Institution of Technology)

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Bibliographic Info

Paper provided by UCLA Department of Economics in its series UCLA Economics Working Papers with number 840.

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Date of creation: 01 Mar 2005
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Handle: RePEc:cla:uclawp:840

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Web page: http://www.econ.ucla.edu/

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References

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  1. 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.
  2. 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.
  3. Pakes, Ariel & Pollard, David, 1989. "Simulation and the Asymptotics of Optimization Estimators," Econometrica, Econometric Society, vol. 57(5), pages 1027-57, September.
  4. Daniel McFadden, 1987. "A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration," Working papers 464, Massachusetts Institute of Technology (MIT), Department of Economics.
  5. 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.
  6. 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.
  7. Berk, Jonathan B., 1997. "Necessary Conditions for the CAPM," Journal of Economic Theory, Elsevier, vol. 73(1), pages 245-257, March.
  8. 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.
  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. 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.
  11. Connor, Gregory, 1984. "A unified beta pricing theory," Journal of Economic Theory, Elsevier, vol. 34(1), pages 13-31, October.
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Cited by:
  1. Jack Ochs & Li Qi, 2006. "Information Use and Transference," Working Papers 236, University of Pittsburgh, Department of Economics, revised Jan 2006.
  2. Peter Bossaerts & William R. Zame, 2006. "Risk Aversion in Laboratory Asset Markets," Levine's Bibliography 122247000000001317, UCLA Department of Economics.
  3. Lensberg, Terje & Schenk-Hoppé, Klaus Reiner, 2006. "On the Evolution of Investment Strategies and the Kelly Rule – A Darwinian Approach," Discussion Papers 2006/23, Department of Business and Management Science, Norwegian School of Economics.
  4. Ernst Fehr & Jean-Robert Tyran, 2005. "Individual Irrationality and Aggregate Outcomes," Discussion Papers 05-09, University of Copenhagen. Department of Economics.
  5. Schmedders, Karl, 2007. "Two-fund separation in dynamic general equilibrium," Theoretical Economics, Econometric Society, vol. 2(2), June.
  6. 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.
  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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