Zero Beta Capm With Heterogeneous Beliefs PDF Download
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Author | : Xuezhong He |
Publisher | : |
Total Pages | : 35 |
Release | : 2008 |
Genre | : |
ISBN | : |
Download Zero-Beta CAPM with Heterogeneous Beliefs Book in PDF, ePub and Kindle
This paper extends the standard Black's zero-beta CAPM with homogeneous beliefs to the case with heterogeneous beliefs in terms of risk aversion coefficients, expected payoffs, and variance/covariance matrices of the payoffs of risky assets among heterogeneous agents within the mean-variance framework. Investors are bounded rational in the sense that they make their optimal decision based on their beliefs. By introducing and constructing a consensus belief of the market, we obtain equilibrium prices of risky assets and show that Black's zero-beta CAPM holds under the consensus belief. Various impacts of heterogeneity on the market equilibrium and agents' optimal portfolios are analyzed. In particular, we show that under market aggregation, the biased belief (from the market belief) of investors makes the optimal portfolio of the investor be mean-variance inefficient while the market portfolio is always on the efficient frontier. This demonstrates that, within this framework, bounded rational investors may never achieve their mean-variance efficiency under aggregation. At the same time, the efficiency of the whole market, measured by the efficiency of the market portfolio, can be achieved. The results also shed a light on the empirical finding that managed funds under-perform comparing to the market indices on average.
Author | : Xue-zhong He |
Publisher | : |
Total Pages | : |
Release | : 2009 |
Genre | : |
ISBN | : |
Download Portfolio Analysis and Zero-beta CAPM with Heterogeneous Beliefs Book in PDF, ePub and Kindle
Author | : Masaaki Kijima |
Publisher | : World Scientific |
Total Pages | : 284 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 9814304077 |
Download Recent Advances in Financial Engineering Book in PDF, ePub and Kindle
This book consists of 11 papers based on research presented at the KIER-TMU International Workshop on Financial Engineering, held in Tokyo in 2009. The Workshop, organised by Kyoto University's Institute of Economic Research (KIER) and Tokyo Metropolitan University (TMU), is the successor to the Daiwa International Workshop on Financial Engineering held from 2004 to 2008 by Professor Kijima (the Chair of this Workshop) and his colleagues. Academic researchers and industry practitioners alike have presented the latest research on financial engineering at this international venue. These papers address state-of-the-art techniques in financial engineering, and have undergone a rigorous selection process to make this book a high-quality one. This volume will be of interest to academics, practitioners, and graduate students in the field of quantitative finance and financial engineering
Author | : Herbert Dawid |
Publisher | : Springer Science & Business Media |
Total Pages | : 217 |
Release | : 2011-03-23 |
Genre | : Business & Economics |
ISBN | : 3642169430 |
Download Computational Methods in Economic Dynamics Book in PDF, ePub and Kindle
This volume is centered around the issue of market design and resulting market dynamics. The economic crisis of 2007-2009 has once again highlighted the importance of a proper design of market protocols and institutional details for economic dynamics and macroeconomics. Papers in this volume capture institutional details of particular markets, behavioral details of agents' decision making as well as spillovers between markets and effects to the macroeconomy. Computational methods are used to replicate and understand market dynamics emerging from interaction of heterogeneous agents, and to develop models that have predictive power for complex market dynamics. Finally treatments of overlapping generations models and differential games with heterogeneous actors are provided.
Author | : Gian Italo Bischi |
Publisher | : Springer Science & Business Media |
Total Pages | : 449 |
Release | : 2012-08-07 |
Genre | : Business & Economics |
ISBN | : 3642295037 |
Download Global Analysis of Dynamic Models in Economics and Finance Book in PDF, ePub and Kindle
The essays in this special volume survey some of the most recent advances in the global analysis of dynamic models for economics, finance and the social sciences. They deal in particular with a range of topics from mathematical methods as well as numerous applications including recent developments on asset pricing, heterogeneous beliefs, global bifurcations in complementarity games, international subsidy games and issues in economic geography. A number of stochastic dynamic models are also analysed. The book is a collection of essays in honour of the 60th birthday of Laura Gardini.
Author | : Gian Italo Bischi |
Publisher | : Springer Science & Business Media |
Total Pages | : 384 |
Release | : 2009-12-15 |
Genre | : Business & Economics |
ISBN | : 3642040233 |
Download Nonlinear Dynamics in Economics, Finance and the Social Sciences Book in PDF, ePub and Kindle
Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.
Author | : Thorsten Hens |
Publisher | : Springer Science & Business Media |
Total Pages | : 377 |
Release | : 2010-07-01 |
Genre | : Business & Economics |
ISBN | : 3540361480 |
Download Financial Economics Book in PDF, ePub and Kindle
Financial economics is a fascinating topic where ideas from economics, mathematics and, most recently, psychology are combined to understand financial markets. This book gives a concise introduction into this field and includes for the first time recent results from behavioral finance that help to understand many puzzles in traditional finance. The book is tailor made for master and PhD students and includes tests and exercises that enable the students to keep track of their progress. Parts of the book can also be used on a bachelor level. Researchers will find it particularly useful as a source for recent results in behavioral finance and decision theory.
Author | : Haim Levy |
Publisher | : Cambridge University Press |
Total Pages | : 457 |
Release | : 2011-10-30 |
Genre | : Business & Economics |
ISBN | : 1139503022 |
Download The Capital Asset Pricing Model in the 21st Century Book in PDF, ePub and Kindle
The Capital Asset Pricing Model (CAPM) and the mean-variance (M-V) rule, which are based on classic expected utility theory, have been heavily criticized theoretically and empirically. The advent of behavioral economics, prospect theory and other psychology-minded approaches in finance challenges the rational investor model from which CAPM and M-V derive. Haim Levy argues that the tension between the classic financial models and behavioral economics approaches is more apparent than real. This book aims to relax the tension between the two paradigms. Specifically, Professor Levy shows that although behavioral economics contradicts aspects of expected utility theory, CAPM and M-V are intact in both expected utility theory and cumulative prospect theory frameworks. There is furthermore no evidence to reject CAPM empirically when ex-ante parameters are employed. Professionals may thus comfortably teach and use CAPM and behavioral economics or cumulative prospect theory as coexisting paradigms.
Author | : |
Publisher | : |
Total Pages | : 720 |
Release | : 2003 |
Genre | : Economics |
ISBN | : |
Download Annals of Economics and Finance Book in PDF, ePub and Kindle
Author | : Roy E. Bailey |
Publisher | : Cambridge University Press |
Total Pages | : 506 |
Release | : 2005-05-26 |
Genre | : Business & Economics |
ISBN | : 1139444891 |
Download The Economics of Financial Markets Book in PDF, ePub and Kindle
The Economics of Financial Markets presents a concise overview of capital markets, suitable for advanced undergraduates and for beginning graduate students in financial economics. Following a brief overview of financial markets - their microstructure and the randomness of stock market prices - this textbook explores how the economics of uncertainty can be applied to financial decision-making. The mean-variance model of portfolio selection is discussed, with analysis extended to the capital asset pricing model (CAPM). Arbitrage plays a pivotal role in finance and is studied in a variety of contexts, including the APT model of asset prices. Methods for the empirical evaluation of CAPM and APT are also discussed, together with the volatility of asset prices, the intertemporal CAPM and the equity premium puzzle. An analysis of bond contracts leads into an assessment of theories of the term structure of interest rates. Finally, financial derivatives are explored, focusing on futures and options contracts.