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    题名: On the Role of Risk Preference in Survivability
    作者: 陳樹衡
    Chen,Shu-Heng
    贡献者: 經濟系
    日期: 2005
    上传时间: 2014-08-14 11:48:23 (UTC+8)
    摘要: 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.
    關聯: Advances in Natural Computation Lecture Notes in Computer Science Volume 3612, 2005, pp 612-621
    数据类型: book/chapter
    DOI 連結: http://dx.doi.org/10.1007/11539902_74
    DOI: 10.1007/11539902_74
    显示于类别:[經濟學系] 專書/專書篇章

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