A continuous heterogeneous agent model for multi-asset pricing and portfolio construction under market matching friction
Jie Fu, Xiaoqi Zhang, Wenyuan Zhou, Yang Lyu
| Year of publication: |
2024
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|---|---|
| Authors: | Fu, Jie ; Zhang, Xiaoqi ; Zhou, Wenyuan ; Lyu, Yang |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier Science, ISSN 1059-0560, ZDB-ID 2026509-8. - Vol. 89.2024, 1, p. 267-283
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| Subject: | Continuous heterogeneous agent model | Matching-based pricing | Portfolio selection | Return forecast | Portfolio-Management | Theorie | Theory | Agentenbasierte Modellierung | Agent-based modeling | Kapitaleinkommen | Capital income | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2023.07.049 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014446433