Wealth-driven selection in a financial market with heterogeneous agents

Anufriev, M; Dindo, P

Wealth-driven selection in a financial market with heterogeneous agents

Anufriev, M

Dindo, P

Permalink

Publication Type:: Journal Article
Citation:: Journal of Economic Behavior and Organization, 2010, 73 (3), pp. 327 - 358
Issue Date:: 2010-03-01

Closed Access

	Filename	Description	Size
	2011002510OK.pdf	Published Version	1.17 MB	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	2010-03-01	en_US
dc.identifier.citation	Journal of Economic Behavior and Organization, 2010, 73 (3), pp. 327 - 358	en_US
dc.identifier.issn	0167-2681	en_US
dc.identifier.uri	http://hdl.handle.net/10453/32469
dc.description.abstract	We study the co-evolution of asset prices and individual wealth in a financial market with an arbitrary number of heterogeneous boundedly rational investors. Using wealth dynamics as a selection device we are able to characterize the long run market outcomes, i.e., asset returns and wealth distributions, for a general class of competing investment behaviors. Our investigation illustrates that market interaction and wealth dynamics pose certain limits on the outcome of agents' interactions even within the "wilderness of bounded rationality". As an application we consider the case of heterogeneous mean-variance optimizers and provide insights into the results of the simulation model introduced by Levy, Levy and Solomon (1994). © 2009 Elsevier B.V. All rights reserved.	en_US
dc.relation.ispartof	Journal of Economic Behavior and Organization	en_US
dc.relation.isbasedon	10.1016/j.jebo.2009.11.006	en_US
dc.subject.classification	Economics	en_US
dc.title	Wealth-driven selection in a financial market with heterogeneous agents	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	73	en_US
utslib.for	1402 Applied Economics	en_US
utslib.for	1401 Economic Theory	en_US
utslib.for	1403 Econometrics	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.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	73	en_US

Abstract:

We study the co-evolution of asset prices and individual wealth in a financial market with an arbitrary number of heterogeneous boundedly rational investors. Using wealth dynamics as a selection device we are able to characterize the long run market outcomes, i.e., asset returns and wealth distributions, for a general class of competing investment behaviors. Our investigation illustrates that market interaction and wealth dynamics pose certain limits on the outcome of agents' interactions even within the "wilderness of bounded rationality". As an application we consider the case of heterogeneous mean-variance optimizers and provide insights into the results of the simulation model introduced by Levy, Levy and Solomon (1994). © 2009 Elsevier B.V. All rights reserved.

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

http://hdl.handle.net/10453/32469