کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
884142 | 912375 | 2010 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Wealth-driven selection in a financial market with heterogeneous agents
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
We study the co-evolution of asset prices and individual wealth in a financial market with an arbitrary number of heterogeneous boundedly rational investors. Using wealth dynamics as a selection device we are able to characterize the long run market outcomes, i.e., asset returns and wealth distributions, for a general class of competing investment behaviors. Our investigation illustrates that market interaction and wealth dynamics pose certain limits on the outcome of agents’ interactions even within the “wilderness of bounded rationality”. As an application we consider the case of heterogeneous mean-variance optimizers and provide insights into the results of the simulation model introduced by Levy, Levy and Solomon (1994).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Behavior & Organization - Volume 73, Issue 3, March 2010, Pages 327–358
Journal: Journal of Economic Behavior & Organization - Volume 73, Issue 3, March 2010, Pages 327–358
نویسندگان
Mikhail Anufriev, Pietro Dindo,