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faculty: "FEB" and publication year: "2008"
| Author | M. Anufriev | | Title | Wealth-driven competition in a speculative financial market: examples with maximizing agents |
| Journal | Quantitative Finance |
| Volume | 8 |
| Year | 2008 |
| Issue | 4 |
| Pages | 363-380 |
| ISSN | 14697688 |
| Faculty | Faculty of Economics and Business |
| Institute/dept. | FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM) |
| Abstract | This paper demonstrates how both the 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 behaviour. The analysis of the asymptotic properties of the market is performed using a geometric approach that 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 analysed. This analysis highlights the features that are specific to linear investment functions. As a consequence, some previous contributions of the agent-based literature are generalized. |
| Document type | Article |
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