Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
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Behavioural Aggregation<br />
Begin with neoclassical EU model with<br />
CRRA preferences and complete<br />
markets.<br />
In respect to judgments, markets<br />
aggregate pdfs, not moments.<br />
Generalized Hölder average theorem.<br />
In respect to preferences, markets<br />
aggregate coefficients of risk tolerance<br />
(inverse of CRRA).<br />
Copyright Hersh <strong>Shefrin</strong> <strong>2008</strong><br />
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