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Boundedly rational equilibrium and risk premium

Listed author(s):
  • Xue‐Zhong He
  • Lei Shi

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1111/j.1467-629X.2011.00421.x
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Article provided by Accounting and Finance Association of Australia and New Zealand in its journal Accounting & Finance.

Volume (Year): 52 (2012)
Issue (Month): 1 (03)
Pages: 71-93

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Handle: RePEc:bla:acctfi:v:52:y:2012:i:1:p:71-93
DOI: j.1467-629X.2011.00421.x
Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0810-5391

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  1. Lintner, John, 1969. "The Aggregation of Investor's Diverse Judgments and Preferences in Purely Competitive Security Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 4(04), pages 347-400, December.
  2. Sharpe, William F, 1991. " Capital Asset Prices with and without Negative Holdings," Journal of Finance, American Finance Association, vol. 46(2), pages 489-509, June.
  3. repec:dau:papers:123456789/341 is not listed on IDEAS
  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. Levy, H & Markowtiz, H M, 1979. "Approximating Expected Utility by a Function of Mean and Variance," American Economic Review, American Economic Association, vol. 69(3), pages 308-317, June.
  6. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis," Research Paper Series 186, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Christian Gollier, 2007. "Whom should we believe? Aggregation of heterogeneous beliefs," Journal of Risk and Uncertainty, Springer, vol. 35(2), pages 107-127, October.
  8. Rabin, Matthew, 1997. "Psychology and Economics," Department of Economics, Working Paper Series qt8jd5z5j2, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  9. Phillippe Weil, 1997. "The Equity Premium Puzzle and the Risk-Free Rate Puzzle," Levine's Working Paper Archive 1833, David K. Levine.
  10. Jan Wenzelburger & Volker Boehm, 2004. "On the performance of efficient portfolios," Computing in Economics and Finance 2004 197, Society for Computational Economics.
  11. Williams, Joseph T., 1977. "Capital asset prices with heterogeneous beliefs," Journal of Financial Economics, Elsevier, vol. 5(2), pages 219-239, November.
  12. Hirshleifer, David, 2001. "Investor Psychology and Asset Pricing," MPRA Paper 5300, University Library of Munich, Germany.
  13. Wenzelburger, Jan, 2004. "Learning to predict rationally when beliefs are heterogeneous," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2075-2104, September.
  14. Ulrich Horst & Jan Wenzelburger, 2008. "On non-ergodic asset prices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 34(2), pages 207-234, February.
  15. Shlomo Benartzi & Richard H. Thaler, 1995. "Myopic Loss Aversion and the Equity Premium Puzzle," The Quarterly Journal of Economics, Oxford University Press, vol. 110(1), pages 73-92.
  16. Rubinstein, Mark, 1976. "The Strong Case for the Generalized Logarithmic Utility Model as the Premier Model of Financial Markets," Journal of Finance, American Finance Association, vol. 31(2), pages 551-571, May.
  17. Jouini, Elyes & Napp, Clotilde, 2006. "Heterogeneous beliefs and asset pricing in discrete time: An analysis of pessimism and doubt," Journal of Economic Dynamics and Control, Elsevier, vol. 30(7), pages 1233-1260, July.
  18. Kyle, Albert S & Wang, F Albert, 1997. " Speculation Duopoly with Agreement to Disagree: Can Overconfidence Survive the Market Test?," Journal of Finance, American Finance Association, vol. 52(5), pages 2073-2090, December.
  19. Elyès Jouini & Clotilde Napp, 2007. "Strategic Beliefs," Working Papers halshs-00176622, HAL.
  20. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
  21. Nicholas Barberis & Ming Huang & Tano Santos, 2001. "Prospect Theory and Asset Prices," The Quarterly Journal of Economics, Oxford University Press, vol. 116(1), pages 1-53.
  22. Albert S. Kyle, 1989. "Informed Speculation with Imperfect Competition," Review of Economic Studies, Oxford University Press, vol. 56(3), pages 317-355.
  23. Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney.
  24. Xue-Zhong He & Lei Shi, 2009. "Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs," Research Paper Series 244, Quantitative Finance Research Centre, University of Technology, Sydney.
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