Extending the CAPM model
Hendri Adriaens and
Bas Donkers ()
No 204, Computing in Economics and Finance 2004 from Society for Computational Economics
This paper extends the well known Capital Asset Pricing Model by Sharpe and Lintner to a multi-period context with possibly price dependent preferences. The model is built from individual forward looking agents adopting a portfolio selection scheme similar to the portfolio selection theory devised by Markowitz. We allow agents to use past and present price information to forecast both the expected return and the variance of asset returns, but with possibly different econometric forecasting techniques. Since the effects of price dependent preferences of agents are complicated, we use Microscopic Simulations to investigate the effects on equilibrium asset prices and on returns over an extended time period in a temporary equilibrium context. We also test whether the assumption of rational expectations makes sense
Keywords: multiperiod CAPM; heterogeneous agents; price dependent preferences; microscopic simulations (search for similar items in EconPapers)
JEL-codes: C10 G11 G12 C68 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-cmp and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://stuwww.uvt.nl/~hendri/University/Files/paperCAPM.pdf main text (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to stuwww.uvt.nl:80
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:204
Access Statistics for this paper
More papers in Computing in Economics and Finance 2004 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().