کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
396191 666303 2007 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Relative risk aversion and wealth dynamics
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر هوش مصنوعی
پیش نمایش صفحه اول مقاله
Relative risk aversion and wealth dynamics
چکیده انگلیسی

As a follow-up to the work of Chen and Huang [S.-H. Chen, Y.-C. Huang, Risk preference, forecasting accuracy and survival dynamics: simulations based on a multi-asset agent-based artificial stock market, Working Paper Series 2004-1, AI-ECON Research Center, National Chengchi University, 2004; S.-H. Chen, Y.-C. Huang, Risk preference and survival dynamics, in: T. Terano, H. Kita, T. Kaneda, K. Arai, H. Deghchi (Eds.), Agent-Based Simulation: From Modeling Methodologies to Real-World Applications, Springer Series on Agent-Based Social Systems, vol. 1, 2005, pp. 135–143], this paper continues to explore the relationship between wealth share dynamics and risk preferences in the context of an agent-based multi-asset artificial stock market. We simulate a multi-asset agent-based artificial stock market composed of heterogeneous agents with different degrees of relative risk aversion. As before, we find that the difference in risk aversion and the resultant saving behavior are the primary forces in determining the survivability of agents. In addition to the stability of the saving behavior, the level of the saving rate also plays a crucial role. The agents with stable saving behavior, e.g., the log-utility agents, may still become extinct because of their low saving rates, whereas the agents with unstable saving behavior may survive because of their high saving rates, implied by their highly risk-averse preferences.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Information Sciences - Volume 177, Issue 5, 1 March 2007, Pages 1222–1229
نویسندگان
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