Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders

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dc.contributor.author Anufriev, M
dc.contributor.author Bottazzi, G
dc.contributor.author Pancotto, F
dc.date.accessioned 2014-04-03T01:07:39Z
dc.date.issued 2006-09
dc.identifier.citation Journal of Economic Dynamics and Control, 2006, 30 (9-10), pp. 1787 - 1835
dc.identifier.issn 0165-1889
dc.identifier.other C1UNSUBMIT en_US
dc.identifier.uri http://hdl.handle.net/10453/22643
dc.description.abstract We consider a pure exchange economy where one risky and one riskless security are traded in discrete time. Individual demands are expressed as fractions of individual wealth and depend on traders' forecasts about future price movement. Introducing the 'Equilibrium Market Line' as the locus of all possible equilibrium returns, we show that, irrespectively of the number of traders and of their investment behavior, the economy possesses isolated equilibria where a single agent dominates the market and continuous manifolds of equilibria where many agents hold finite wealth shares. Moreover, we prove that no global dominance order relation among strategies can be defined. © 2006 Elsevier B.V. All rights reserved.
dc.language eng
dc.relation.isbasedon 10.1016/j.jedc.2005.10.012
dc.title Equilibria, stability and asymptotic dominance in a speculative market with heterogeneous traders
dc.type Journal Article
dc.description.version Published
dc.parent Journal of Economic Dynamics and Control
dc.journal.volume 9-10
dc.journal.volume 30
dc.journal.number 9-10 en_US
dc.publocation Amsterdam, Netherlands en_US
dc.publocation UK
dc.identifier.startpage 1787 en_US
dc.identifier.endpage 1835 en_US
dc.cauo.name BUS.Economics en_US
dc.conference Verified OK en_US
dc.for 1502 Banking, Finance and Investment
dc.for 1402 Applied Economics
dc.for 1401 Economic Theory
dc.personcode 114462
dc.percentage 34 en_US
dc.classification.name Economic Theory en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.edition 1
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Asset pricing model
dc.description.keywords CRRA framework
dc.description.keywords Equilibrium market line
dc.description.keywords Market selection
dc.description.keywords Price and wealth dynamics
pubs.embargo.period Not known
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
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc false
utslib.collection.history Closed (ID: 3)


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