Wealth-driven selection in a financial market with heterogeneous agents

Mikhail Anufriev and Pietro Dindo

Journal of Economic Behavior & Organization, 2010, vol. 73, issue 3, 327-358

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).

Keywords: Heterogeneous; agents; Asset; pricing; model; CRRA; framework; Levy-Levy-Solomon; model; Evolutionary; finance (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (39)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-2681(09)00277-7
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Wealth-driven Selection in a Financial Market with Heterogeneous Agents (2009)
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:eee:jeborg:v:73:y:2010:i:3:p:327-358

Access Statistics for this article

Journal of Economic Behavior & Organization is currently edited by Houser, D. and Puzzello, D.

More articles in Journal of Economic Behavior & Organization from Elsevier
Bibliographic data for series maintained by Catherine Liu ().