Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong - In: The European Journal of Finance 17 (2011) 3, pp. 241-258
diversity with respect to beliefs among investors reduce the market risk of risky assets? The current paper aims to answer this … question. Within the standard mean-variance framework, we introduce heterogeneous beliefs not only in risk preferences and … expected payoffs but also in variances/covariances. By aggregating heterogeneous beliefs into a market consensus belief, we …