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Investor heterogeneity, asset pricing and volatility dynamics

Citations

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Cited by:

  1. François Grand & Xavier Ragot, 2016. "Incomplete markets and derivative assets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(3), pages 517-545, August.
  2. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02312186, HAL.
  3. Thierry Chauveau & Alexander Subbotin, 2010. "Price Dynamics in Market with Heterogeneous Investment Horizons and Boundedly Rational Traders," Post-Print halshs-00497427, HAL.
  4. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01011701, HAL.
  5. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Post-Print halshs-01215947, HAL.
  6. Chen, An & Rach, Manuel, 2023. "Actuarial fairness and social welfare in mixed-cohort tontines," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 214-229.
  7. Liu, Yi-Fang & Zhang, Wei & Xu, Chao & Vitting Andersen, Jørgen & Xu, Hai-Chuan, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 204-215.
  8. Sylvain Champonnois, 2011. "The limits of market discipline: proprietary trading and aggregate risk," 2011 Meeting Papers 1013, Society for Economic Dynamics.
  9. Chabakauri, Georgy, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
  10. Georges Prat & Remzi Uctum, 2021. "Modeling ex-ante risk premia in the oil market," Working Papers hal-03508699, HAL.
  11. An Chen & Thai Nguyen & Manuel Rach, 2021. "A collective investment problem in a stochastic volatility environment: The impact of sharing rules," Annals of Operations Research, Springer, vol. 302(1), pages 85-109, July.
  12. Chabakauri, Georgy & Rytchkov, Oleg, 2021. "Asset pricing with index investing," Journal of Financial Economics, Elsevier, vol. 141(1), pages 195-216.
  13. Christian Heyerdahl-Larsen & Philipp Illeditsch, 2018. "Demand Disagreement," 2018 Meeting Papers 607, Society for Economic Dynamics.
  14. Guillaume Coqueret, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02000726, HAL.
  15. repec:spo:wpmain:info:hdl:2441/1p7ctioc2n80gp0icks5dssdsa is not listed on IDEAS
  16. Alex YiHou Huang & Ming-Che Hu & Quang Thai Truong, 2021. "Asymmetrical impacts from overnight returns on stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 849-889, April.
  17. Harjoat S. Bhamra & Raman Uppal, 2014. "Asset Prices with Heterogeneity in Preferences and Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 27(2), pages 519-580.
  18. Paul Ehling & Christian Heyerdahl-Larsen, 2017. "Correlations," Management Science, INFORMS, vol. 63(6), pages 1919-1937, June.
  19. Coqueret, Guillaume, 2017. "Empirical properties of a heterogeneous agent model in large dimensions," Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 180-201.
  20. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Post-Print halshs-00983051, HAL.
  21. Yi-Fang Liu & Wei Zhang & Chao Xu & J{o}rgen Vitting Andersen & Hai-Chuan Xu, 2013. "Impact of information cost and switching of trading strategies in an artificial stock market," Papers 1311.4274, arXiv.org, revised Jul 2014.
  22. Chen, An & Nguyen, Thai & Rach, Manuel, 2021. "Optimal collective investment: The impact of sharing rules, management fees and guarantees," Journal of Banking & Finance, Elsevier, vol. 123(C).
  23. Weinbaum, David, 2010. "Preference heterogeneity and asset prices: An exact solution," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2238-2246, September.
  24. Thierry Chauveau & Alexander Subbotin, 2010. "Price Dynamics in Market with Heterogeneous Investment Horizons and Boundedly Rational Traders," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00497427, HAL.
  25. Judd, Kenneth L. & Leisen, Dietmar P.J., 2010. "Equilibrium open interest," Journal of Economic Dynamics and Control, Elsevier, vol. 34(12), pages 2578-2600, December.
  26. Bjarne Astrup Jensen & Jørgen Aase Nielsen, 2016. "How suboptimal are linear sharing rules?," Annals of Finance, Springer, vol. 12(2), pages 221-243, May.
  27. Lehrer, Steven & Xie, Tian & Zhang, Xinyu, 2021. "Social media sentiment, model uncertainty, and volatility forecasting," Economic Modelling, Elsevier, vol. 102(C).
  28. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00983051, HAL.
  29. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01215947, HAL.
  30. Hauser, Shmuel & Kedar-Levy, Haim, 2018. "Liquidity might come at cost: The role of heterogeneous preferences," Journal of Financial Markets, Elsevier, vol. 39(C), pages 1-23.
  31. Bo Liu & Lei Lu & Congming Mu & Jinqiang Yang, 2021. "Heterogeneous preferences, investment, and asset pricing," Financial Management, Financial Management Association International, vol. 50(4), pages 1169-1193, December.
  32. Chabakauri, Georgy & Rytchkov, Oleg, 2014. "Asset pricing with index investing," LSE Research Online Documents on Economics 60739, London School of Economics and Political Science, LSE Library.
  33. Dietmar P. J. Leisen, 2018. "Heterogeneity In Risk Preferences Leads To Stochastic Volatility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-27, September.
  34. Alexander Subbotin & Thierry Chauveau, 2010. "Price Dynamics in a Market with Heterogeneous Investment Horizons and Boundedly Rational Traders," Documents de travail du Centre d'Economie de la Sorbonne 10048, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  35. Chauveau, Th. & Subbotin, A., 2013. "Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1040-1065.
  36. Ki Beom Binh & Hogyu Jhang, 2015. "Extraneous Risk: Pricing of Non-Systematic Risk," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 335-352, November.
  37. Xue-Zhong He & Lei Shi, 2012. "Heterogeneous Beliefs and the Performances of Optimal Portfolios," Research Paper Series 301, Quantitative Finance Research Centre, University of Technology, Sydney.
  38. Ming Pu & Gang-Zhi Fan & Seow Ong, 2012. "Heterogeneous Agents and the Indifference Pricing of Property Index Linked Swaps," The Journal of Real Estate Finance and Economics, Springer, vol. 44(4), pages 543-569, May.
  39. repec:hal:spmain:info:hdl:2441/1p7ctioc2n80gp0icks5dssdsa is not listed on IDEAS
  40. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," 2012 Meeting Papers 636, Society for Economic Dynamics.
  41. Guillaume Coqueret, 2016. "Empirical properties of a heterogeneous agent model in large dimensions," Post-Print hal-02088097, HAL.
  42. Yi-Fang Liu & Wei Zhang & Chao Xu & Jørgen Vitting Andersen & Hai-Chuan Xu, 2014. "Impact of information cost and switching of trading strategies in an artificial stock market," Documents de travail du Centre d'Economie de la Sorbonne 14031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
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