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