Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework

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dc.contributor.author Chiarella, C
dc.contributor.author Dieci, R
dc.contributor.author He, X
dc.date.accessioned 2009-12-21T02:36:52Z
dc.date.issued 2007-01
dc.identifier.citation Journal of Economic Behavior and Organization, 2007, 62 (3), pp. 408 - 427
dc.identifier.issn 0167-2681
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/5155
dc.description.abstract This paper develops a dynamic model of a financial market where heterogeneous agents invest among multiple risky assets and a risk-free asset, under a market maker scenario. Particular attention is paid to the case of two risky assets and two agent types, fundamentalists and trend chasers, whose beliefs on both first and second moments of the conditional distribution of returns are based on past observations. Conditions for the stability of the fundamental equilibrium are established and the effect of the correlation between the risky assets is examined. It turns out that investors anticipated correlation and dynamic portfolio diversification do not always have a stabilizing role, but rather may act as a source of complexity in the financial market.
dc.publisher Elsevier B.V.
dc.relation.hasversion Accepted manuscript version en_US
dc.relation.isbasedon 10.1016/j.jebo.2005.08.005
dc.rights NOTICE: this is the author’s version of a work that was accepted for publication in Journal of Economic Behavior & Organization. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Economic Behavior & Organization, [Volume 62, Issue 3, March 2007, Pages 408–427] DOI# http://dx.doi.org/10.1016/j.jebo.2005.08.005 en_US
dc.title Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework
dc.type Journal Article
dc.parent Journal of Economic Behavior and Organization
dc.journal.volume 3
dc.journal.volume 62
dc.journal.number 3 en_US
dc.publocation Netherlands en_US
dc.identifier.startpage 408 en_US
dc.identifier.endpage 427 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 1402 Applied Economics
dc.personcode 010238
dc.personcode 716350
dc.percentage 100 en_US
dc.classification.name Applied Economics en_US
dc.classification.type FOR-08 en_US
dc.description.keywords Heterogeneous beliefs; Asset pricing; Portfolio choice; Bifurcation analysis; Co-movements in stock prices en_US
dc.description.keywords Heterogeneous beliefs
dc.description.keywords Asset pricing
dc.description.keywords Portfolio choice
dc.description.keywords Bifurcation analysis
dc.description.keywords Co-movements in stock prices
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/Finance
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance


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