Publikation: Heterogeneity of investors and asset pricing in a risk-value world
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2001
Autor:innen
Weber, Martin
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Working Paper/Technical Report
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Zusammenfassung
Portfolio choice and the implied asset pricing are usually derived assuming maximization of expected utility. In this paper, they are derived from risk-value models which generalize the Markowitz-model. We use behaviorally based risk measure with an endogenous or exogenous benchmark
Zusammenfassung in einer weiteren Sprache
Fachgebiet (DDC)
330 Wirtschaft
Schlagwörter
decision making under risk, asset pricing, convexity of pricing kernel, heterogeneity of investors
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FRANKE, Günter, Martin WEBER, 2001. Heterogeneity of investors and asset pricing in a risk-value worldBibTex
@techreport{Franke2001Heter-11786, year={2001}, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Heterogeneity of investors and asset pricing in a risk-value world}, number={2001/08}, author={Franke, Günter and Weber, Martin} }
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