Wealth-driven competition in a speculative financial market: Examples with maximizing agents
- Publication Type:
- Journal Article
- Citation:
- Quantitative Finance, 2008, 8 (4), pp. 363 - 380
- Issue Date:
- 2008-06-01
Closed Access
| Filename | Description | Size | |||
|---|---|---|---|---|---|
 | 2011002568OK.pdf | 417.25 kB |
Copyright Clearance Process
- Recently Added
- In Progress
- Closed Access
This item is closed access and not available.
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. © 2008 Taylor & Francis.
Please use this identifier to cite or link to this item: