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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Simple Example of T14.1<br />
Errors in First Moments Only<br />
Complete markets, 2 investors<br />
equal wealth.<br />
CRRA = 1, log-utility.<br />
One investor is excessively bullish<br />
about mean returns, the other is<br />
excessively bearish.<br />
Correct beliefs about volatility.<br />
How does the market aggregate the<br />
different investor judgments?<br />
Copyright Hersh <strong>Shefrin</strong> <strong>2008</strong><br />
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