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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2008"

AuteurM. Anufriev
TitelWealth-driven competition in a speculative financial market: examples with maximizing agents
TijdschriftQuantitative Finance
Jaargang8
Jaar2008
Nummer4
Pagina's363-380
ISSN14697688
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
SamenvattingThis 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.
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