Evolution of Wealth and Asset Prices in Markets with Case-Based Investors

Ani Guerdjikova ()
Additional contact information
Ani Guerdjikova: Cornell University, Postal: Uris Hall 462, Ithaca, NY 14853

No 04-49, Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim, Sonderforschungsbereich 504, University of Mannheim

Abstract: I analyze whether case-based decision makers (CBDM) can survive in an assetmarket in the presence of expected utilitymaximizers. Conditions are identified, under which the CBDM retain a positive mass with probability one. CBDM can cause predictability of asset returns, high volatility and bubbles. It is found that the expected utility maximizers can disappear from the market for a finite period of time, if the mispricing of the risky asset caused by the case-based decision-makers aggravates too much. Only in the case of logarithmic expected utility maximizers do the case-based decision makers disappear from the market for all parameter values.

Pages: 35 pages
Date: 2004-11-24
New Economics Papers: this item is included in nep-fin and nep-rmg
Note: I am indebted to my advisor Juergen Eichberger for his helpful guidance. I would like to thank Hans Haller,
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sfb504.uni-mannheim.de/publications/dp04-49.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:xrs:sfbmaa:04-49

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Sonderforschungsbereich 504 Publications from Sonderforschungsbereich 504, Universität Mannheim Contact information at EDIRC., Sonderforschungsbereich 504, University of Mannheim
Bibliographic data for series maintained by Carsten Schmidt ( this e-mail address is bad, please contact ).