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Query: faculty: "FEB" and publication year: "2010"

AuthorsM. Anufriev, P. Dindo
TitleWealth-driven selection in a financial market with heterogeneous agents
JournalJournal of Economic Behavior & Organization
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractWe 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).
Document typeArticle
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