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faculty: "FEB" and publication year: "2007"
| Authors||M. Anufriev, P.D.E. Dindo|
|Title||Wealth selection in a financial market with heterogeneous agents|
|Title series||CeNDEF Working Paper Universiteit van Amsterdam|
|Faculty||Faculty of Economics and Business|
|Institute/dept.||FEB: Amsterdam School of Economics Research Institute (ASE-RI)|
|Abstract||We study the co-evolution of asset prices and agents' wealth in a financial market populated by an arbitrary number of heterogeneous, boundedly rational investors. We model assets' demand to be proportional to agents' wealth, so that wealth dynamics can be used as a selection device. For a general class of investment behaviors, we are able to characterize the long run market outcome, i.e. the steady-state equilibrium values of asset return, and agents' survival. Our investigation illustrates that market forces pose certain limits on the outcome of agents' interactions even within the "wilderness of bounded rationality". As an application we show that our analysis provides a rigorous explanation for the results of the simulation model introduced in Levy, Levy and Solomon (1994).|
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