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

该项目的成果将为澳大利亚学术界、行业和金融市场监管机构的金融市场研究人员提供两方面的好处。首先，在一个能够反映市场行为的许多现实特征的背景下，理解和分析最优投资组合决策规则有更好的理论和经验基础，例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、更具竞争力的金融体系。它还有可能带动更多金融相关行业的发展，如金融市场软件。

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.