S.-H. Chen and Y.-C. Huang (Taiwan)
Risk Preferences, CRRA (Constant Relative Risk Aversion), Blume-Easley Theorem, Agent-Based Artificial Stock Markets, Genetic Algorithms, Efficient Frontier
As a follow-up of the work [4] and [5], this paper contin ues to explore the relationship between wealth share dy namics and risk preferences in the context of agent-based multi-asset artificial stock market. We simulate a multi asset agent-based artificial stock market composing of het erogeneous agents with different degrees of relative risk aversion. As before, we find that difference in risk aversion and the resultant saving behavior are the primary forces in determining the survivability of agents. In addition to the stability of saving behavior, the level of saving rate also plays a crucial role. The agents with stable saving behavior, e.g., the log-utility agents, may still go extinction because of their low saving rates, whereas the agents with unstable saving behavior may survive because of their high saving rates, implied from their high risk-averse preferences.
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