Dynamic Asset Pricing and Portfolio Decision Rules under Heterogeneous Expectations and Adaptive Learning

异质期望和自适应学习下的动态资产定价和投资组合决策规则

• 批准号: DP0773776
• 负责人: Prof Xuezhong (Tony) He
• 金额: $ 27.83万
• 依托单位: University of Technology Sydney
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2007
• 资助国家: 澳大利亚
• 起止时间: 2007-02-01 至 2010-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0773776
• 关键词: Dynamic; Asset; Pricing; Portfolio; Decision

The outcomes of this project will provide two benefits to Australian financial market researchers in academe, in industry and financial market regulators. First, a better theoretical and empirical foundation for understanding and analysing optimal portfolio decision rules in a setting that captures many realistic features of market behaviour such as heterogeneity of investor types and adaptive behaviour by market participants. Second, new tools to more effectively understand and manage portfolio risk in financial markets. Consequently Australia will have a more efficient and competitive financial system. It also has the potential to lead to the development of more finance related industries such as financial market software.

该项目的成果将为澳大利亚金融市场研究人员提供两个好处，一个是工业，另一个是金融市场监管机构。第一，更好的理论和实证基础，理解和分析最佳投资组合决策规则的设置，捕捉市场行为的许多现实特征，如投资者类型的异质性和市场参与者的适应性行为。第二，更有效地理解和管理金融市场投资组合风险的新工具。因此，澳大利亚将拥有一个更有效率和竞争力的金融体系。它也有可能导致更多金融相关行业的发展，如金融市场软件。