Equilibrium in securities markets with heterogeneous investors and unspanned income risk.
Peter Ove ChristensenKasper LarsenClaus MunkPublished in: J. Econ. Theory (2012)
Keyphrases
- portfolio management
- financial markets
- market participants
- risk management
- transaction costs
- market equilibrium
- sharpe ratio
- stock market
- investment strategies
- trading strategies
- portfolio optimization
- market data
- early warning
- portfolio selection
- risk averse
- risk aversion
- portfolio theory
- game theory
- risk assessment
- risk analysis
- risk measures
- stock price
- market clearing
- variational inequalities
- electricity markets
- heterogeneous networks
- exchange rate
- nash equilibrium
- resource allocation
- moral hazard
- decision making
- trading agents
- stock exchange
- financial data
- bidding strategies
- decision support system
- real world
- electronic markets
- factor analysis
- short term