An asset pricing model with adaptive heterogeneous agents and wealth effects

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Show simple item record Chiarella, Carl en_US He, Xuezhong en_US
dc.contributor.editor Lux, T; Reitz S; Samanidou E en_US 2010-06-18T02:06:51Z 2010-06-18T02:06:51Z 2005 en_US
dc.identifier 2005002022 en_US
dc.identifier.citation Chiarella Carl and He Xuezhong 2005, 'An asset pricing model with adaptive heterogeneous agents and wealth effects', in (ed.), Springer-Verlag, Berlin, Germany, pp. 269-285. en_US
dc.identifier.issn 3-540-22237-5 en_US
dc.identifier.other B1 en_US
dc.description.abstract The characterisation of agents' preferences by decreasing absolute risk aversion (DARA) and constant relative risk aversion (CRRA) are well documented in the literature and also supported in both empirical and experimental studies. This paper considers a financial market with heterogeneous agents having power utility functions, which are the only utility functions displaying both DARA and CRRA. By introducing a population weighted average wealth measure, we develop an adaptive model to characterise asset price dynamics as well as the evolution of population proportions and wealth dynamics. Some numerical simulations are included to illustrate the evolution of the wealth dynamics, market behaviour and market efficiency within the framework of heterogeneous agents. en_US
dc.language en_US
dc.publisher Springer en_US
dc.relation.hasversion Accepted manuscript version
dc.relation.isbasedon en_US
dc.rights The original publication is available at
dc.title An asset pricing model with adaptive heterogeneous agents and wealth effects en_US
dc.parent Nonlinear Dynamics and Heterogeneous Interacting Agents en_US
dc.journal.volume en_US
dc.journal.number en_US
dc.publocation Berlin, Germany en_US
dc.identifier.startpage 269 en_US
dc.identifier.endpage 285 en_US BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 140103 en_US
dc.personcode 716350 en_US
dc.personcode 010238 en_US
dc.percentage 60 en_US Mathematical Economics en_US
dc.classification.type FOR-08 en_US
dc.edition 1 en_US
dc.custom en_US en_US
dc.location.activity en_US
dc.description.keywords bounded rationality; heterogeneous beliefs; evolutionary dynamics; asset price dynamics; nonlinear dynamical systems en_US
dc.staffid en_US
dc.staffid 010238 en_US

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