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題名 Relative Risk Aversion and Wealth Dynamics 作者 Chen,Shu-Heng;Huang,Ya-Chi 關鍵詞 Risk preferences;CRRA (constant relative risk aversion);Blume–Easley theorem;Agent-based artificial stock markets;Genetic algorithms 日期 2007-03 上傳時間 9-Jan-2009 12:15:05 (UTC+8) 摘要 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. 關聯 Information Sciences,177(5),1222-1229 資料類型 article DOI http://dx.doi.org/10.1016/j.ins.2006.08.007 dc.creator (作者) Chen,Shu-Heng;Huang,Ya-Chi en_US dc.date (日期) 2007-03 en_US dc.date.accessioned 9-Jan-2009 12:15:05 (UTC+8) - dc.date.available 9-Jan-2009 12:15:05 (UTC+8) - dc.date.issued (上傳時間) 9-Jan-2009 12:15:05 (UTC+8) - dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/23252 - dc.description.abstract (摘要) 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. - dc.format application/ en_US dc.language en en_US dc.language en-US en_US dc.language.iso en_US - dc.relation (關聯) Information Sciences,177(5),1222-1229 en_US dc.subject (關鍵詞) Risk preferences;CRRA (constant relative risk aversion);Blume–Easley theorem;Agent-based artificial stock markets;Genetic algorithms - dc.title (題名) Relative Risk Aversion and Wealth Dynamics en_US dc.type (資料類型) article en dc.identifier.doi (DOI) 10.1016/j.ins.2006.08.007 en_US dc.doi.uri (DOI) http://dx.doi.org/10.1016/j.ins.2006.08.007 en_US
