%A Anufriev, Mikhail

%J Quantitative Finance

%N 4

%P 363-380

%V 8

%D 2008

%K Asset pricing model; CRRA framework; Equilibrium market curve; Expected utility maximization; Mean-variance optimization; Linear investment functions

%= 2011-02-23T15:54:00Z

%~ http://www.peerproject.eu/

%> http://nbn-resolving.de/urn:nbn:de:0168-ssoar-221078

%X 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.

%C Vereinigtes Königreich

%G en

%9 Zeitschriftenartikel

%W GESIS - http://www.gesis.org

%~ SSOAR - http://www.ssoar.info