Mean variance preferences expectations formation and the dynamics of random asset prices

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dc.contributor.author Bohm, V en_US
dc.contributor.author Chiarella, Carl en_US
dc.date.accessioned 2009-12-21T02:28:01Z
dc.date.available 2009-12-21T02:28:01Z
dc.date.issued 2005 en_US
dc.identifier 2005000655 en_US
dc.identifier.citation Bohm V and Chiarella Carl 2005, 'Mean variance preferences expectations formation and the dynamics of random asset prices', Blackwell Publishers, vol. 15, no. 1, pp. 61-97. en_US
dc.identifier.issn 0960-1627 en_US
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/3426
dc.description.abstract This paper analyzes the dynamics of an explicit random process of prices and price expectations of finitely many assets in an economy with overlapping generations of heterogeneous consumers. They maximize expected utility with respect to subjective trans en_US
dc.publisher Blackwell Publishers en_US
dc.relation.isbasedon http://dx.doi.org/10.1111/j.0960-1627.2005.00211.x en_US
dc.title Mean variance preferences expectations formation and the dynamics of random asset prices en_US
dc.parent Mathematical Finance en_US
dc.journal.volume 15 en_US
dc.journal.number 1 en_US
dc.publocation Malden, USA en_US
dc.identifier.startpage 61 en_US
dc.identifier.endpage 97 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 010200 en_US
dc.personcode 0000021213 en_US
dc.personcode 716350 en_US
dc.percentage 100 en_US
dc.classification.name Applied Mathematics en_US
dc.classification.type FOR-08 en_US
dc.custom 1.9 en_US
dc.description.keywords capital asset pricing; mean variance preferences; rational expectations; random dynamical systems; random fixed points; adaptive learning en_US
dc.staffid 716350 en_US


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