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?:abstract
  • This paper demonstrates how both quantitative and qualitative results of a general, analytically tractable asset-pricing model in which heterogeneous agents behave consistently with a constant relative risk aversion assumption can be applied to the special case of optimizing behavior. The analysis of the asymptotic properties of the market is performed using a geometric approach which allows the visualization of all possible equilibria by means of a simple one-dimensional Equilibrium Market Curve. The case of linear (particularly, mean-variance) investment functions is thoroughly analyzed. This analysis highlights the features which are specific to linear investment functions. As a consequence, some previous contributions of the agent-based literature are generalized. (xsd:string)
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?:dateModified
  • 2008 (xsd:gyear)
?:datePublished
  • 2008 (xsd:gyear)
?:doi
  • 10.1080/14697680701494534 ()
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  • true (xsd:boolean)
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  • en (xsd:string)
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?:issueNumber
  • 4 (xsd:string)
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  • Wealth-driven competition in a speculative financial market: examples with maximizing agents (xsd:string)
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  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Quantitative Finance, 8, 2008, 4, 363-380 (xsd:string)
rdf:type
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?:urn
  • urn:nbn:de:0168-ssoar-221078 ()
?:volumeNumber
  • 8 (xsd:string)