title = {Wealth-driven competition in a speculative financial market: examples with maximizing agents },

author = {Anufriev, Mikhail },

journal = {Quantitative Finance },

number = {4 },

pages = {363-380 },

volume = {8 },

year = {2008 },

url = {http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221078 },

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.},

}