Diversification effect of heterogeneous beliefs

He, X; Shi, L

Diversification effect of heterogeneous beliefs

He, X

Shi, L

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Publisher:: Springer
Publication Type:: Chapter
Citation:: Computational Methods in Economic Dynamics, 2011, 1, pp. 57 - 75
Issue Date:: 2011-01

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Field	Value	Language
dc.contributor.author	He, X https://orcid.org/0000-0003-1446-9996	en_US
dc.contributor.author	Shi, L https://orcid.org/0000-0002-6226-1762	en_US
dc.contributor.editor	Dawid, H	en_US
dc.contributor.editor	Semmler, W	en_US
dc.date.issued	2011-01	en_US
dc.identifier.citation	Computational Methods in Economic Dynamics, 2011, 1, pp. 57 - 75	en_US
dc.identifier.isbn	978-3-642-16943-4	en_US
dc.identifier.uri	http://hdl.handle.net/10453/17813
dc.description.abstract	Within the framework of Chiarella et al (2009b) on MV analysis, this paper examines the impact of the heterogeneity and bounded rationality on the market equilibrium and MV efficiency of the optimal portfolios. The heterogeneity is characterised by the heterogeneous beliefs about the returns of the risky assets, while the bounded rationality corresponds to the MV optimisation of investors based on their beliefs.	en_US
dc.publisher	Springer	en_US
dc.relation.ispartof	Computational Methods in Economic Dynamics	en_US
dc.relation.isbasedon	10.1007/978-3-642-16943-4	en_US
dc.title	Diversification effect of heterogeneous beliefs	en_US
dc.type	Chapter
utslib.location	US	en_US
utslib.for	1401 Economic Theory	en_US
utslib.citation.edition	1	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.consider-herdc	true	en_US
pubs.edition	1	en_US
pubs.place-of-publication	US	en_US

Abstract:

Within the framework of Chiarella et al (2009b) on MV analysis, this paper examines the impact of the heterogeneity and bounded rationality on the market equilibrium and MV efficiency of the optimal portfolios. The heterogeneity is characterised by the heterogeneous beliefs about the returns of the risky assets, while the bounded rationality corresponds to the MV optimisation of investors based on their beliefs.

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http://hdl.handle.net/10453/17813