Equilibrium return and agents' survival in a multiperiod asset market: Analytic support of a simulation model

Anufriev, M; Dindo, P

Equilibrium return and agents' survival in a multiperiod asset market: Analytic support of a simulation model

Anufriev, M

Dindo, P

Permalink

Publication Type:: Chapter
Citation:: 2006, 584 pp. 269 - 282
Issue Date:: 2006-12-01

Closed Access

	Filename	Description	Size
	2011002607OK.pdf		294.68 kB	Adobe PDF	View/Open

Copyright Clearance Process

Recently Added
In Progress
Closed Access

This item is closed access and not available.

Full metadata record

Field	Value	Language
dc.contributor.author	Anufriev, M https://orcid.org/0000-0002-1842-6814	en_US
dc.contributor.author	Dindo, P	en_US
dc.date.issued	2006-12-01	en_US
dc.identifier.citation	2006, 584 pp. 269 - 282	en_US
dc.identifier.isbn	9783540372479	en_US
dc.identifier.uri	http://hdl.handle.net/10453/22612
dc.description.abstract	We provide explanations for the results of the Levy, Levy and Solomon model, a recent simulation model of financial markets. These explanations are based upon mathematical analysis of a dynamic model of a market with an arbitrary number of heterogeneous investors allocating their wealth between two assets. The investors' choices are endogenously modeled in a general way and, in particular, consistent with the maximization of an expected utility. We characterize the equilibria of the model and their stability and discuss implications for the market return and agents' survival. These implications are in agreement with the results of previous simulations. Thus, our analytic approach allows to explore the robustness of the previous analysis and to expand its spectrum. © 2006 Springer-Verlag Berlin Heidelberg.	en_US
dc.relation.isbasedon	10.1007/3-540-37249-0_19	en_US
dc.subject.classification	Operations Research	en_US
dc.title	Equilibrium return and agents' survival in a multiperiod asset market: Analytic support of a simulation model	en_US
dc.type	Chapter
utslib.citation.volume	584	en_US
utslib.for	1401 Economic Theory	en_US
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/Economics Discipline
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	584	en_US

Abstract:

We provide explanations for the results of the Levy, Levy and Solomon model, a recent simulation model of financial markets. These explanations are based upon mathematical analysis of a dynamic model of a market with an arbitrary number of heterogeneous investors allocating their wealth between two assets. The investors' choices are endogenously modeled in a general way and, in particular, consistent with the maximization of an expected utility. We characterize the equilibria of the model and their stability and discuss implications for the market return and agents' survival. These implications are in agreement with the results of previous simulations. Thus, our analytic approach allows to explore the robustness of the previous analysis and to expand its spectrum. © 2006 Springer-Verlag Berlin Heidelberg.

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

http://hdl.handle.net/10453/22612