Browsing 14 Economics by Author "Lux, T; Reitz S; Samanidou E"

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Browsing 14 Economics by Author "Lux, T; Reitz S; Samanidou E"

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  • Asset price dynamics and diversification with heterogeneous agents 
    Chiarella Carl; Dieci Roberto; Gardini Laura (Springer-Verlag, 2005)
    A discrete-time dynamic model of a financial market is developed, where two types of agents, fundamentalists and chartists, allocate their wealth between two risky assets and a safe asset, according to one-period mean-variance ...
  • An asset pricing model with adaptive heterogeneous agents and wealth effects 
    Chiarella Carl; He Xuezhong (Springer-Verlag, 2005)
    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 ...