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政大機構典藏 > 社會科學學院 > 經濟學系 > 專書/專書篇章 > Item 140.119/68720

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/68720

Title:	On the Role of Risk Preference in Survivability
Authors:	陳樹衡 Chen,Shu-Heng
Contributors:	經濟系
Date:	2005
Issue Date:	2014-08-14 11:48:23 (UTC+8)
Abstract:	Using an agent-based multi-asset artificial stock market, we simulate the survival dynamics of investors with different risk preferences. It is found that the survivability of investors is closely related to their risk preferences. Among the eight types of investors considered in this paper, only the CRRA investors with RRA coefficients close to one can survive in the long run. Other types of agents are eventually driven out of the market, including the famous CARA agents and agents who base their decision on the capital asset pricing model.
Relation:	Advances in Natural Computation Lecture Notes in Computer Science Volume 3612, 2005, pp 612-621
Data Type:	book/chapter
DOI 連結:	http://dx.doi.org/10.1007/11539902_74
DOI:	10.1007/11539902_74
Appears in Collections:	[經濟學系] 專書/專書篇章

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