Do heterogeneous beliefs diversify market risk?-Reference-Cited by-同舟云学术

Do heterogeneous beliefs diversify market risk?

Published:2011-03 Issue:3 Volume:17 Page:241-258
ISSN:1351-847X
Container-title:The European Journal of Finance
language:en
Short-container-title:The European Journal of Finance

Author:

Chiarella Carl,Dieci Roberto,He Xue-Zhong

Publisher

Informa UK Limited

Subject

Economics, Econometrics and Finance (miscellaneous)

Link

http://www.tandfonline.com/doi/pdf/10.1080/1351847X.2010.481457

Reference42 articles.

1. Abel, A. 1989. Asset prices under heterogeneous beliefs: Implications for the equity premium. Working paper 09-89, Rodney L. White Center for Financial Research

2. An exploration of the effects of pessimism and doubt on asset returns

3. Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model

4. The Cross-Section of Volatility and Expected Returns

5. Divergence of Opinion and Risk

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3. Heterogeneous Agent Models in Finance ✶ ✶Acknowledgments: We are grateful to the editors, Cars Hommes and Blake LeBaron, and three reviewers for their very helpful comments. We also thank the participants to the Workshop “Handbook of Computational Economics, Volume 4, Heterogeneous Agent Models”, hosted by the Amsterdam School of Economics, University of Amsterdam, for insightful discussions and suggestions. We would like to dedicate this survey to the memory of Carl Chiarella who inspired and collaborated with us on a large body of research covered partially in this chapter. Financial support from the Australian Research Council (ARC) under Discovery Grant (DP130103210) is gratefully acknowledged.;Handbook of Computational Economics;2018

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