The aim of this paper is to show, within the mean-variance framework, how the market belief can be constructed as the result of the aggregation of heterogeneous beliefs and how the market equilibrium prices of risky assets can thus be determined. The heterogeneous beliefs are defined in terms of...

This paper considers a discrete-time model of a financial market with one risky asset and one risk-free asset, where the asset price and wealth dynamics is determined by the interaction of two groups of agents, fundamentalists and trend extrapolators. In each period each group allocates its...

The methods of various moving average rules remain popular with financial market practitioners. These rules have recently become the focus of empirical studies. However there seem to have been very few studies on the analysis of the type of financial market dynamics resulting from the fact that...

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