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    Please use this identifier to cite or link to this item: http://nccur.lib.nccu.edu.tw/handle/140.119/23252


    Title: Relative Risk Aversion and Wealth Dynamics
    Authors: Chen,Shu-Heng;Huang,Ya-Chi
    Keywords: Risk preferences;CRRA (constant relative risk aversion);Blume–Easley theorem;Agent-based artificial stock markets;Genetic algorithms
    Date: 2007-03
    Issue Date: 2009-01-09 12:15:05 (UTC+8)
    Abstract: As a follow-up to the work of Chen and Huang [S.-H. Chen, Y.-C. Huang, Risk preference, forecasting accuracy and survival dynamics: simulations based on a multi-asset agent-based artificial stock market, Working Paper Series 2004-1, AI-ECON Research Center, National Chengchi University, 2004; S.-H. Chen, Y.-C. Huang, Risk preference and survival dynamics, in: T. Terano, H. Kita, T. Kaneda, K. Arai, H. Deghchi (Eds.), Agent-Based Simulation: From Modeling Methodologies to Real-World Applications, Springer Series on Agent-Based Social Systems, vol. 1, 2005, pp. 135–143], this paper continues to explore the relationship between wealth share dynamics and risk preferences in the context of an agent-based multi-asset artificial stock market. We simulate a multi-asset agent-based artificial stock market composed of heterogeneous agents with different degrees of relative risk aversion. As before, we find that the 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 the saving behavior, the level of the saving rate also plays a crucial role. The agents with stable saving behavior, e.g., the log-utility agents, may still become extinct because of their low saving rates, whereas the agents with unstable saving behavior may survive because of their high saving rates, implied by their highly risk-averse preferences.
    Relation: Information Sciences,177(5),1222-1229
    Data Type: article
    DOI 連結: http://dx.doi.org/10.1016/j.ins.2006.08.007
    DOI: 10.1016/j.ins.2006.08.007
    Appears in Collections:[經濟學系] 期刊論文

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