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Wealth-driven competition in a speculative financial market: examples with maximizing agents


Anufriev, Mikhail


Bitte beziehen Sie sich beim Zitieren dieses Dokumentes immer auf folgenden Persistent Identifier (PID):http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221078

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Abstract This paper demonstrates how both quantitative and qualitative results of a general, analytically tractable asset-pricing model in which heterogeneous agents behave consistently with a constant relative risk aversion assumption can be applied to the special case of optimizing behavior. The analysis of the asymptotic properties of the market is performed using a geometric approach which allows the visualization of all possible equilibria by means of a simple one-dimensional Equilibrium Market Curve. The case of linear (particularly, mean-variance) investment functions is thoroughly analyzed. This analysis highlights the features which are specific to linear investment functions. As a consequence, some previous contributions of the agent-based literature are generalized.
Klassifikation Volkswirtschaftslehre; Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Freie Schlagwörter Asset pricing model; CRRA framework; Equilibrium market curve; Expected utility maximization; Mean-variance optimization; Linear investment functions
Sprache Dokument Englisch
Publikationsjahr 2008
Seitenangabe S. 363-380
Zeitschriftentitel Quantitative Finance, 8 (2008) 4
DOI http://dx.doi.org/10.1080/14697680701494534
Status Postprint; begutachtet (peer reviewed)
Lizenz PEER Licence Agreement (applicable only to documents from PEER project)