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

Anufriev, Mikhail

Bibtex export

@article{ Anufriev2008,
 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},
 doi = {https://doi.org/10.1080/14697680701494534},
 urn = {https://nbn-resolving.org/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.},
}