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

[journal article]

Anufriev, Mikhail

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Please use the following Persistent Identifier (PID) to cite this document: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.
Classification Political Economy; Economic Statistics, Econometrics, Business Informatics
Free Keywords Asset pricing model; CRRA framework; Equilibrium market curve; Expected utility maximization; Mean-variance optimization; Linear investment functions
Document language English
Publication Year 2008
Page/Pages p. 363-380
Journal Quantitative Finance, 8 (2008) 4
DOI http://dx.doi.org/10.1080/14697680701494534
Status Postprint; reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)
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