Wealth-driven competition in a speculative financial market: examples with maximizing agents
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
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
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Englisch
- Notes
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Postprint
begutachtet (peer reviewed)
In: Quantitative Finance ; 8 (2008) 4 ; 363-380
- Classification
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Wirtschaft
- Event
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Veröffentlichung
- (where)
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Mannheim
- (when)
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2008
- Creator
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Anufriev, Mikhail
- DOI
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10.1080/14697680701494534
- URN
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urn:nbn:de:0168-ssoar-221078
- Rights
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Open Access unbekannt; Open Access; Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
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25.03.2025, 1:56 PM CET
Data provider
Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Anufriev, Mikhail
Time of origin
- 2008
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