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Handbook of Financial Markets: Dynamics and Evolution by Klaus Reiner Schenk-Hoppe, Thorsten Hens

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Chapter 6. Perfect Forecasting, Behavioral Heterogeneities, and Asset Prices

  1. Introduction 346
  2. The CAPM as a Two-Period Equilibrium Model 349
    1. Portfolio Selection with One Risk-Free Asset 349
    2. Two-Fund Separation 351
    3. Existence and Uniqueness of Equilibrium 355
    4. Equilibria with Heterogeneous Beliefs 358
  3. Heterogeneous Beliefs and Social Interaction 359
    1. Temporary Equilibria 359
    2. Perfect Forecasting Rules 362
    3. Systematic and Nonsystematic Risk 366
    4. Selecting Mediators 369
    5. Dynamic Stability with Rational Expectations 371
  4. Multiperiod Planning Horizons 374
    1. Overlapping Cohorts of Investors 375
    2. Temporary Equilibria 378
    3. Perfect Forecasting Rules 379
    4. Portfolio Holdings 385
  5. Nonergodic Asset Prices 387
    1. Characterization of Long-Run Equilibria 389
    2. Convergence to ...

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