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- W103290704 abstract "This paper introduces a simulation model extending the well known Capital Asset Pricing Model by Sharpe and Lintner. Investors are modeled as multi-period forward looking portfolio optimizers. However, the future is not known emph{a priori}, but has to be modeled and estimated. We allow agents to use past price information to forecast the future of asset returns, but with possibly different econometric forecasting techniques and different data sets. We use Microscopic Simulations to investigate the effects on equilibrium asset prices and on returns over an extended time period in a temporary equilibrium context. We show that models of this kind can reproduce key features of asset returns found in real life" @default.
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- W103290704 date "2005-01-01" @default.
- W103290704 modified "2023-09-26" @default.
- W103290704 title "Multi-period CAPM with Heterogeneous Agents" @default.
- W103290704 hasPublicationYear "2005" @default.
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