An asset pricing model with adaptive heterogeneous agents and wealth effects

Chiarella, C; He, XZ

An asset pricing model with adaptive heterogeneous agents and wealth effects

Chiarella, C He, XZ

Permalink

Publication Type:: Chapter
Citation:: 2005, 550 pp. 269 - 285
Issue Date:: 2005-12-01

Open Access

Copyright Clearance Process

Recently Added
In Progress
Open Access

This item is open access.

Adobe PDF

Download full textAdobe PDF (448.66 kB)

View on publisher's site

View statistics

Full metadata record

Field	Value	Language
dc.contributor.author	Chiarella, C	en_US
dc.contributor.author	He, XZ https://orcid.org/0000-0003-1446-9996	en_US
dc.date.issued	2005-12-01	en_US
dc.identifier.citation	2005, 550 pp. 269 - 285	en_US
dc.identifier.isbn	9783540222378	en_US
dc.identifier.uri	http://hdl.handle.net/10453/12379
dc.description.abstract	The characterisation of agents' preferences by decreasing absolute risk aversion (DARA) and constant relative risk aversion (CRRA) are well documented in the literature and also supported in both empirical and experimental studies. This paper considers a financial market with heterogeneous agents having power utility functions, which are the only utility functions displaying both DARA and CRRA. By introducing a population weighted average wealth measure, we develop an adaptive model to characterise asset price dynamics as well as the evolution of population proportions and wealth dynamics. Some numerical simulations are included to illustrate the evolution of the wealth dynamics, market behaviour and market efficiency within the framework of heterogeneous agents. © 2005 Springer-Verlag Berlin Heidelberg.	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0450526
dc.relation.isbasedon	10.1007/3-540-27296-8_18	en_US
dc.subject.classification	Operations Research	en_US
dc.title	An asset pricing model with adaptive heterogeneous agents and wealth effects	en_US
dc.type	Chapter
utslib.citation.volume	550	en_US
utslib.for	140103 Mathematical Economics	en_US
utslib.for	150201 Finance	en_US
dc.location.activity	Fremantle, Australia
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Finance Discipline
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.publication-status	Published	en_US
pubs.volume	550	en_US

Abstract:

The characterisation of agents' preferences by decreasing absolute risk aversion (DARA) and constant relative risk aversion (CRRA) are well documented in the literature and also supported in both empirical and experimental studies. This paper considers a financial market with heterogeneous agents having power utility functions, which are the only utility functions displaying both DARA and CRRA. By introducing a population weighted average wealth measure, we develop an adaptive model to characterise asset price dynamics as well as the evolution of population proportions and wealth dynamics. Some numerical simulations are included to illustrate the evolution of the wealth dynamics, market behaviour and market efficiency within the framework of heterogeneous agents. © 2005 Springer-Verlag Berlin Heidelberg.

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10453/12379