Diversification effect of heterogeneous beliefs

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dc.contributor.author He, X
dc.contributor.author Shi, L
dc.contributor.editor Dawid, H
dc.contributor.editor Semmler, W
dc.date.accessioned 2012-10-12T03:32:01Z
dc.date.issued 2011-01
dc.identifier.citation Computational Methods in Economic Dynamics, 2011, 1st, pp. 57 - 75
dc.identifier.isbn 978-3-642-16943-4
dc.identifier.other B1 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.
dc.publisher Springer
dc.relation.isbasedon 10.1007/978-3-642-16943-4
dc.title Diversification effect of heterogeneous beliefs
dc.type Chapter
dc.parent Computational Methods in Economic Dynamics
dc.journal.number en_US
dc.publocation US en_US
dc.identifier.startpage 57 en_US
dc.identifier.endpage 75 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1401 Economic Theory
dc.personcode 010238
dc.personcode 997966
dc.percentage 100 en_US
dc.classification.name Economic Theory en_US
dc.classification.type FOR-08 en_US
dc.edition 1st en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords optimisation, heterogeneity, bounded rationality, risk, returns en_US
pubs.embargo.period Not known
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
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
utslib.collection.history Finance (ID: 371)
utslib.collection.history Closed (ID: 3)


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