The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM

Hillebrand M, Wenzelburger J (2005) Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld.
Bielefeld: Universität Bielefeld.

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This paper investigates a financial market in which investors with linear mean-variance preferences and multiperiod planning horizons of arbitrary finite length interact. Given heterogeneous subjective beliefs, the temporary equilibrium map determining market clearing prices is calculated explicitly. The classical capital market line result of CAPM theory is extended showing that under homogeneous beliefs investors with identical multiperiod planning horizons hold portfolios with equal proportions of risky assets. The existence of perfect forecasting rules for first and second moment beliefs which generate rational expectations is established.
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Hillebrand M, Wenzelburger J. The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Bielefeld: Universität Bielefeld; 2005.
Hillebrand, M., & Wenzelburger, J. (2005). The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM (Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld). Bielefeld: Universität Bielefeld.
Hillebrand, M., and Wenzelburger, J. (2005). The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, Bielefeld: Universität Bielefeld.
Hillebrand, M., & Wenzelburger, J., 2005. The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM, Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, Bielefeld: Universität Bielefeld.
M. Hillebrand and J. Wenzelburger, The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM, Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, Bielefeld: Universität Bielefeld, 2005.
Hillebrand, M., Wenzelburger, J.: The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Universität Bielefeld, Bielefeld (2005).
Hillebrand, Marten, and Wenzelburger, Jan. The impact of multiperiod planning horizons on portfolios and asset prices in a dynamic CAPM. Bielefeld: Universität Bielefeld, 2005. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld.
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