Equilibrium Return and Agents’ Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model

Mikhail Anufriev and Pietro Dindo

Chapter 19 in Advances in Artificial Economics, 2006, pp 269-282 from Springer

Abstract: Abstract We provide explanations for the results of the Levy, Levy and Solomon model, a recent simulation model of financial markets. These explanations are based upon mathematical analysis of a dynamic model of a market with an arbitrary number of heterogeneous investors allocating their wealth between two assets. The investors’ choices are endogenously modeled in a general way and, in particular, consistent with the maximization of an expected utility. We characterize the equilibria of the model and their stability and discuss implications for the market return and agents’ survival. These implications are in agreement with the results of previous simulations. Thus, our analytic approach allows to explore the robustness of the previous analysis and to expand its spectrum.

Keywords: Risk Aversion; Risky Asset; Memory Span; Dividend Yield; Equilibrium Return (search for similar items in EconPapers)
Date: 2006
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Working Paper: Equilibrium Return and Agents' Survival in a Multiperiod Asset Market: Analytic Support of a Simulation Model (2006)
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DOI: 10.1007/3-540-37249-0_19

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