Loss aversion in an agent-based asset pricing model

Quantitative Finance ◽

10.1080/14697688.2019.1655784 ◽

2019 ◽

Vol 20 (2) ◽

pp. 275-290

Author(s):

Radu T. Pruna ◽

Maria Polukarov ◽

Nicholas R. Jennings

Keyword(s):

Asset Pricing ◽

Loss Aversion ◽

Pricing Model ◽

Agent Based ◽

Asset Pricing Model

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An asset pricing model with loss aversion and its stylized facts

2016 IEEE Symposium Series on Computational Intelligence (SSCI) ◽

10.1109/ssci.2016.7850003 ◽

2016 ◽

Author(s):

Radu T. Pruna ◽

Maria Polukarov ◽

Nicholas R. Jennings

Keyword(s):

Asset Pricing ◽

Loss Aversion ◽

Pricing Model ◽

Stylized Facts ◽

Asset Pricing Model

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Avoiding regret in an agent-based asset pricing model

Finance Research Letters ◽

10.1016/j.frl.2017.09.014 ◽

2018 ◽

Vol 24 ◽

pp. 273-277 ◽

Author(s):

Radu T. Pruna ◽

Maria Polukarov ◽

Nicholas R. Jennings

Keyword(s):

Asset Pricing ◽

Pricing Model ◽

Agent Based ◽

Asset Pricing Model

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Applying the method of simulated moments to estimate a small agent-based asset pricing model

Journal of Empirical Finance ◽

10.1016/j.jempfin.2009.06.006 ◽

2009 ◽

Vol 16 (5) ◽

pp. 804-815 ◽

Author(s):

Reiner Franke

Keyword(s):

Asset Pricing ◽

Pricing Model ◽

Agent Based ◽

Asset Pricing Model ◽

Method Of Simulated Moments

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A Heterogeneous Agent-based Asset Pricing Model and Simulation

International Journal of Engineering and Manufacturing ◽

10.5815/ijem.2012.04.02 ◽

2012 ◽

Vol 2 (4) ◽

pp. 9-18 ◽

Author(s):

Haiying Ren ◽

Siwei Li

Keyword(s):

Asset Pricing ◽

Pricing Model ◽

Heterogeneous Agent ◽

Agent Based ◽

Asset Pricing Model ◽

Model And Simulation

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An agent based modeling framework to evaluate the Capital Asset Pricing Model

2009 Systems and Information Engineering Design Symposium ◽

10.1109/sieds.2009.5166145 ◽

2009 ◽

Author(s):

Michael J. Ledwith

Keyword(s):

Asset Pricing ◽

Agent Based Modeling ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Modeling Framework ◽

Agent Based ◽

Asset Pricing Model

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Loss aversion asset pricing model performance: empirical evidence from five pacific-basin countries

Asia Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century - Contemporary Studies in Economic and Financial Analysis ◽

10.1016/s1569-3759(05)86012-7 ◽

2005 ◽

pp. 235-271

Author(s):

David Ng ◽

Mehdi Sadeghi

Keyword(s):

Asset Pricing ◽

Empirical Evidence ◽

Loss Aversion ◽

Model Performance ◽

Pacific Basin ◽

Pricing Model ◽

Asset Pricing Model

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The Capital Asset Pricing Model and Market Microstructure

10.2469/dig.v29.n4.589 ◽

1999 ◽

Vol 29 (4) ◽

pp. 96-96

Author(s):

Frank T. Magiera

Keyword(s):

Asset Pricing ◽

Market Microstructure ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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Capital Asset Pricing Model und Alternativkalküle

10.1007/978-3-658-12025-2 ◽

2016 ◽

Author(s):

Raphael Stahl

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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The Capital Asset Pricing Model, A Fundamental Critique

SSRN Electronic Journal ◽

10.2139/ssrn.1612415 ◽

2010 ◽

Author(s):

Roger Dayala

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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Validity of Non-Standardized Form of Capital Asset Pricing Model in Pakistan

SSRN Electronic Journal ◽

10.2139/ssrn.1867877 ◽

2011 ◽

Author(s):

M.Irfan Khan ◽

Sarwat Afzal

Keyword(s):

Asset Pricing ◽

Capital Asset Pricing Model ◽

Capital Asset Pricing ◽

Pricing Model ◽

Capital Asset ◽

Asset Pricing Model

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