Risk preference and survival dynamics

被引：7

作者：

Chen, SH ^{[1
]}

Huang, YC ^{[1
]}

机构：

[1] Natl Chengchi Univ, AI ECON Res Ctr, Dept Econ, Taipei 11623, Taiwan

来源：

Agent-Based Simulation: From Modeling Methodologies to Real-World Applications | 2005年 / 1卷

关键词：

market selection hypothesis; agent-based artificial stock markets; autonomous agents; genetic algorithms;

D O I：

10.1007/4-431-26925-8_13

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

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 axe eventually driven out of the market, including the famous CARA agents and agents who base their decision on the capital asset pricing model.

引用

页码：135 / 143

页数：9

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