Heterogeneity of Investors and Asset Pricing in a Risk-Value World

Portfolio choice and the implied asset pricing are usually derived assumingmaximization of expected utility. In this Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally-based risk measure with an endogenous or exogenous benchmark...

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Year of publication:	2002-04-02
Authors:	Franke, Günter ; Weber, Martin
Institutions:	Universität <Mannheim> / Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Finanzwirtschaft, insbesondere Bankbetriebslehre
Subject:	Entscheidung bei Risiko \| decision \| Aktienbewertung \| stock evaluation \| Investor \| Heterogenität \| Verteilungsverfahren \| redistribution procedure

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Extent:	52 p. 251,74 p. application/pdf
Series:	Universität Mannheim - Lehrstuhl für ABWL und Finanzwirtschaft, insbesondere Bankbetriebslehre - Publikationen DISCUSSION PAPER SERIES ; No 3832 (2003)
Type of publication:	Book / Working Paper
Language:	English
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; Specific management methods ; Financial theory ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005844820