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Please use this identifier to cite or link to this item: http://hdl.handle.net/2262/65778

Title: Wealth-driven Selection in a Financial Market with Heterogeneous Agents
Keywords: G12
D84
C62.
Heterogeneous agents
Asset pricing model
CRRA framework
Levy-Levy-Solomon model
Evolutionary Finance
Issue Date: 11-Dec-2009
Publisher: Elsevier
Abstract: Abstract 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).
URI: http://hdl.handle.net/2262/65778
ISSN: 01672681 (ISSN)
DOI: 10.1016/j.jebo.2009.11.006
Rights: 2009
Affiliation: CeNDEF--> , Department of Quantitative Economics--> , University of Amsterdam--> , Roetersstraat 11--> , NL-1018 WB Amsterdam--> - NETHERLANDS (Anufriev, Mikhail)
LEM--> , Sant’Anna School of Advanced Studies--> , Piazza Martiri della Libert́a 33--> , 56127 Pisa--> - ITALY (Anufriev, Mikhail)
CeNDEF--> , Department of Quantitative Economics--> , University of Amsterdam--> , Roetersstraat 11--> , NL-1018 WB Amsterdam--> - ITALY (Anufriev, Mikhail)
CeNDEF--> , Department of Quantitative Economics--> , University of Amsterdam--> , Roetersstraat 11--> , NL-1018 WB Amsterdam--> - NETHERLANDS (Dindo, Pietro)
LEM--> , Sant’Anna School of Advanced Studies--> , Piazza Martiri della Libert́a 33--> , 56127 Pisa--> - ITALY (Dindo, Pietro)
Appears in Collections:PEER Publications

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